Using the Tick-Size Pilot Program, we show that tick-size increases in treated firms cause a significant reduction in stock price crash risk. Earnings management and algorithmic trading are the two key channels of impact. We also show that sophisticated investors such as short-sellers are...

Using the Tick-Size Pilot Program, we show that tick-size increases in treated firms cause a significant reduction in stock price crash risk. Earnings management and algorithmic trading are the two key channels of impact. We also show that sophisticated investors such as short-sellers are...

We study how macroeconomic uncertainty (EU) manifests into the cross-sectional variations of the credit default swap (CDS)-bond bases. We develop a structural model in which common EU induces informational friction affecting the pricing in the bond and CDS markets. Higher EU will lead to a...

We show that the cross-autocorrelation also exists in the global CDS markets and develop an econometric model to capture the global correlation structure. We study implications on the credit risk transmission and contagion risk. We find four main results: (i) credit risk transmission is through...

We study the effect of economic uncertainty exposure (EUE) on cross-sectional return differentiating the mispricing from ambiguity-premium effects. Conditional on a common mispricing index, we find that EUE induces disagreement which amplifies mispricing. The highest EUE quintile produces an...

In this paper we review the literature on the short term predictability of stock prices conditional on large prior price changes. This research area is characterized by a large number of studies reflecting different markets, time periods, methodologies and model parameters. While most of the...