In this paper we examine how divergence of opinion affect cross-sectional asset returns for different stocks with different arbitrage costs by employing a new proxy for divergence of opinion. We generalize Tauchen and Pitts' (1983) well-known Mixture of Distribution Hypothesis (MDH), which links...

This paper studies the impact of macroeconomic news on the stock market microstructure measures of information asymmetry. The results show that, due to the daily changes in the information environment, daily information asymmetry has a global impact, though on annual basis, the information...

We examine the relative yields of Treasuries and municipals using a generalized model that includes liquidity as a state factor. Using a unique transaction dataset, we are able to estimate the liquidity risk of municipals and its effect on bond yields. We find that a substantial portion of the...

This article presents a framework for modeling defaultable debt under alternative recovery conventions (for a wide class of processes describing recovery rates and default probability). These debt models have the ability to differentiate the impact of recovery rates and default probability, and...

Utilizing a comprehensive database of transactions in municipal bonds, we investigate the volume-volatility relationship in the muni market. We find a positive relationship between the number of transactions and a bond's price volatility. In contrast to previous studies, we find a negative...

We provide an updated study of accounting research in the Asia–Pacific region using the publication records of six premier accounting journals (top-6) from 1991 to 2010, and augment the findings with the broader range of publications from an additional twenty accounting journals during the...

From a credit risk perspective, little is known about the distress factors -- economy-wide or firm-specific -- that are important in explaining variations in defaultable coupon yields. This paper proposes and empirically tests a family of credit risk models. Empirically, we find that...

Utilizing a comprehensive database of transactions in municipal bonds, we investigate the volume-volatility relation in the municipal bond market. We find a positive relation between the number of transactions and a bond's price volatility. In contrast to previous studies, we find a "negative"...