We use transaction-level data on the UK government bond, repo and interest-rate swap markets to analyse market liquidity, investor behaviour and price dynamics during the market disruptions in September-October 2022. We provide a detailed account of how selling pressure in gilt markets – due...

This paper examines how online interaction between firm management and investors impacts stock price crash risk. Based on the previous literature, we postulate that online interaction constrains crash risk via two channels, i.e., deterring bad news hoarding activities of managers and decreasing...

Government interventions such as bailouts are often implemented in times of high uncertainty. Policymakers may therefore rely on information from financial markets to guide their decisions. We propose a model in which a policymaker learns from market activity and where market participants have...

We investigate if originating banks increase the complexity of European Mortgage Backed Securities (MBS) to obfuscate low securitization quality. When measuring securitization complexity with traditionally used proxies, we find no worse performance of more complex MBS. However, we provide...

We construct a model of bubbles where an asset can be used as collateral primarily due to higher-order uncertainty: while both a lender and a borrower know that the intrinsic value of the asset is low, they may still believe that a “greater fool” exists who will purchase it at a much higher...

We attempt a connection between three entities: Extreme Stock Market Returns, the Web Attention factor and a set of News Flow factors, for three groups of countries during the European Financial Crisis: the Euro-periphery countries, the Euro-core countries, and the major European Union - but not...

This is the internet appendix for "High Frequency News in the European Financial Crisis". The paper "High Frequency News in the European Financial Crisis" to which this Appendix applies is available at: 'http://ssrn.com/abstract=2572597' http://ssrn.com/abstract=2572597

How can fire sales for financial assets happen when the economy contains well capitalized, but non-specialist investors? Our explanation combines rational expectations equilibrium and "lemons" models. When specialist (informed) market participants are liquidity-constrained, prices become less...

I perform textual analysis on high frequency (intraday) news articles. Selected articles are related to Euro-zone periphery crisis-affected countries (Portugal, Ireland, Italy, Greece, Spain). News pessimism affects stock returns negatively and volatility positively. Media pessimism does not...