"We evaluate whether the market reacts rationally to profit warnings by testing for subsequent abnormal returns. Warnings fall into two classes: those that include a new earnings forecast, and those that offer only the guidance that earnings will be below current expectations. We find...

The expectations hypothesis of the term structure has been decisively rejected in a large empirical literature that spans several decades. In this paper, using a newly constructed dataset of synthetic zero-coupon bond yields, we show that evidence against the expectations hypothesis is...

Mexico introduced a Defined Contribution (DC) Pension System in 1997. We analyzed the behavior of affiliated workers under the institutional design of the reformed system. Before the reform, 75% of affiliated workers could receive a lifetime annuity upon retirement; we project that under the new...

This paper analyzes the diffusion and spillover effects of credit risk among banks within a banking system, using the Mexican financial system as a case study. Credit risk is measured by the non-performing loans ratio (NPL). Our method builds on work by Diebold and Yilmaz (2009) to decompose...