We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity e ffects in the US structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and the potential degree of disclosure. Having access...

The London Interbank Offered Rate (Libor) and the Euro Interbank Offered Rate (Euribor) are two key market benchmark interest rates used in a plethora of financial contracts with notional amounts running into the hundreds of trillions of dollars. The integrity of the rate-setting process for...

We estimate corporate bond portfolios using numerous asset-specific characteristics. Our portfolio weights accommodate a large cross-section and allow for a flexible management of turnover and liquidity. A portfolio tilted toward higher maturity, credit risk, coupon, momentum, and size...

We empirically study how underwriters' inventory capacity effects corporate bond offerings. We find that allocations to relationship investors increase when inventory capacity across underwriters is low. The outsourcing of inventory by underwriters causes offerings of syndicates with stronger...

Consensus professional forecasts of stock returns are three times more volatile than those of non-professionals and econometricians. This "excess" volatility in professional forecasts is not due to noise. Rather, professional forecasts respond immediately, strongly, and countercyclically to...

We analyze M&A announcements and focus on the potential impact of these deals on bond prices in the US corporate bond market. In particular, we investigate the effect of changes in credit, liquidity and rollover risk. This is important, as especially target firms are often small with rather...

This paper provides a novel approach to empirically determine prices of bond covenants based on transaction data for the US corporate bond market. Thereby, we are the first to measure price effects over the whole lifetime of bond contracts. We find that covenant prices vary significantly over...