This paper analyses how borrower liquidity constraints and home equity relate to the realized loss given default (LGD) using the quarterly U.S. residential mortgage loan-level data observed from Q2 2005 to Q1 2015. We define defaulted loans with zero-LGD as cure loans and those with non-zero LGD...

This paper analyses how borrower liquidity constraints and home equity relate to the realized loss given default (LGD) using the quarterly U.S. residential mortgage loan-level data observed from Q2 2005 to Q1 2015. We define defaulted loans with zero-LGD as cure loans and those with non-zero LGD...

We assess investors' reaction to new information arrivals in financial markets by examining the relationships between trading volume and the higher moments of returns in 18 international equity and currency markets. Our volume-volatility results support extant information theories and further...

The “adverse selection” hypothesis expects that the introduction of index futures trading will decrease the liquidity of index component stocks as liquidity-motivated traders migrate to futures trading. Conversely, the “index arbitrage” hypothesis predicts that index arbitrage activity...

The “adverse selection” hypothesis expects that the introduction of index futures trading will decrease the liquidity of index component stocks as liquidity-motivated traders migrate to futures trading. Conversely, the “index arbitrage” hypothesis predicts that index arbitrage activity...