The Enron Corporation went from a $65 billion dollar market capitalization to bankruptcy in just ... more The Enron Corporation went from a $65 billion dollar market capitalization to bankruptcy in just 16 months. Using statistical techniques for extracting the implied probability distributions built into option prices, I examine the market's expectation of Enron's risk of collapse. I find that the "smart money" remained far too optimistic about the stock until just weeks before their bankruptcy filing.
Time series evidence on exchange rates has been unable to reject the random walk hypothesis. A si... more Time series evidence on exchange rates has been unable to reject the random walk hypothesis. A simple structural model that accounts for target zone nonlinearities provides conclusive evidence of mean reversion in EMS exchange rates.
This research note explores liquidity provisions in the corporate bond market using a variety of ... more This research note explores liquidity provisions in the corporate bond market using a variety of metrics. We analyze all TRACE corporate bond transactions from January 2003 to September 2015, segmenting the market into two groups: the 1,000 most active issues each year with respect to the par volumes of trades and a growing set of less actively traded bonds. Most measures suggest a healthy market: Across both segments, transaction volumes have continued to grow, the number of trades is rising, bid-ask spreads have narrowed and the impact of trades on prices continues to fall.
The Enron Corporation went from a $65 billion dollar market capitalization to bankruptcy in just ... more The Enron Corporation went from a $65 billion dollar market capitalization to bankruptcy in just 16 months. Using statistical techniques for extracting the implied probability distributions built into option prices, I examine the market's expectation of Enron's risk of collapse. I find that the "smart money" remained far too optimistic about the stock until just weeks before their bankruptcy filing.
Time series evidence on exchange rates has been unable to reject the random walk hypothesis. A si... more Time series evidence on exchange rates has been unable to reject the random walk hypothesis. A simple structural model that accounts for target zone nonlinearities provides conclusive evidence of mean reversion in EMS exchange rates.
This research note explores liquidity provisions in the corporate bond market using a variety of ... more This research note explores liquidity provisions in the corporate bond market using a variety of metrics. We analyze all TRACE corporate bond transactions from January 2003 to September 2015, segmenting the market into two groups: the 1,000 most active issues each year with respect to the par volumes of trades and a growing set of less actively traded bonds. Most measures suggest a healthy market: Across both segments, transaction volumes have continued to grow, the number of trades is rising, bid-ask spreads have narrowed and the impact of trades on prices continues to fall.
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