Abstract Social distancing, self-isolation, quarantining, and lockdowns arising from the COVID-19 pandemic have been common restrictions as governments attempted to limit rapid virus transmission. In this study, we identified drivers of adverse mental behavioral health during whether factors such social isolation various serve additional stressors for different age groups. Univariate multivariate regression analyses were conducted on a unique dataset based national probability-based survey...

Abstract The absence of observable innovation data for a firm often leads us to exclude or classify these firms as non-innovators. We assess the reliability six methods dealing with unreported using several different counterfactuals without reported R&D patents. These tests reveal that excluding imputing them zero innovators and including dummy variable can lead biased parameter estimates observed other explanatory variables. Excluding patents is especially problematic, leading...

Mental health disorders represent an enormous cost to society, are related economic outcomes, and have increased markedly since the COVID-19 outbreak. Economic activity contracted dramatically on a global scale in 2020, representing worst crisis Great Depression. This study used COVID Impact Survey provide insights interactions of mental illness uncertainty during COVID-19. We probability-based panel survey, Survey, conducted U.S. over three waves period April-June 2020. The survey covered...

Recent research demonstrates that the well‐documented feeble link between exchange rates and economic fundamentals can be reconciled with conventional rate theories under assumption discount factor is near unity ( Engel West 2005 ). We provide empirical evidence this valid, lending further support to above explanation of disconnect nominal fundamentals.

This paper adds to the research efforts that aim bridge divide between macro and micro approaches exchange rate economics by examining linkages foreign order flow, expectations of macroeconomic variables, movements. The basic hypothesis tested is if flow reflects heterogeneous beliefs about fundamentals, currency markets learn state economy gradually, then can have both explanatory forecasting power for rates. Using one year high frequency data collected via a live feed from Reuters three...

The existing literature on financial crises includes several different methods of testing for contagion during market crises. In this article, two modified models measuring via changes in correlations due to unexpected shocks are used: the adjusted correlation model and full information model. mechanisms by which Russian 1998 crisis spread Slovenia, Estonia Czech Republic investigated. main focus is extent these markets, after interdependencies common external have been taken into account....

We use the introduction and subsequent removal of flash order functionality from NASDAQ as a natural experiment to investigate impact voluntary disclosure trading intent on market quality. find that orders significantly improve liquidity in NASDAQ. Furthermore, overall quality improves (deteriorates) when is introduced (removed). This result can be attributed increased competition among suppliers across competing venues. Alternatively, attract responses reactive traders immediately after...

We study the empirical relevance of participation externality between liquidity suppliers (makers) and demanders (takers), i.e., whether demand attracts or reduces supply, vice versa. use exogenous shocks to exchange fees technology as experiments identify cross-sided complementarities in U.S. equity market. find that is large positive, on average. However, negative periods high adverse selection. quantify economic significance by evaluating an exchange’s revenue after a fee change. The...

Abstract We use the introduction and subsequent removal of flash-order functionality from NASDAQ as a natural experiment to investigate impact voluntary disclosure trading intent on market quality. find that flash orders significantly improve liquidity in NASDAQ. Furthermore, overall quality improves (deteriorates) when is introduced (removed). This result can be attributed increased competition among suppliers across competing venues. Alternatively, attract responses reactive traders...

Abstract We study the quoting activity of market makers in relation to trading, liquidity, and expected returns. Empirically, we find larger quote-to-trade (QT) ratios small, illiquid, or neglected firms, yet large QT are associated with low The last result is driven by quotes, not trades. propose a model consistent these facts. In equilibrium, monitor faster (and thus increase ratio) neglected, difficult-to-understand stocks. They also when their clients more precisely informed, which...

This paper studies the impact of algorithmic trading (AT) on asset prices. We find that heterogeneity traders across stocks generates predictable patterns in stock returns. A strategy exploits AT return predictability a monthly risk-adjusted performance between 50-130 basis points for period 1999 to 2012. with lower have higher returns, after controlling standard market-, size-, book-to-market-, momentum, and liquidity risk factors. effect survives inclusion many cross-sectional predictors...

This paper examines the relation between Canadian dollar / US (CAD) exchange rate and foreign order flow employing a novel data set on CAD over period 1994-2005. We investigate empirically predictive information content determinants of flow. The results suggest that has strong out-of-sample power for returns, yielding significant market timing ability tangible economic gains in stylized dynamic asset allocation context. In terms its determinants, appears to reflect not only menu...

We study the relevance of cross-sided externality between liquidity makers and takers from two-sided market perspective.We use exogenous changes in make/take fee structure, minimum tick-size technological shocks for makers, as experiments to identify complementarities U.S. equity market.We find that is on average positive, but it decreases with adverse selection.We quantify economic significance by evaluating an exchange's revenue after a change.

Abstract We link equity and treasury bond markets via an informational channel. When macroeconomic state shifts are more probable, informed traders likely to have valid signals about fundamentals, so that uninformed less willing trade against ones. This implies low volume high volatility, is, a volatility–volume ratio (VVR). Central banks react shifts, but their actions uncertain. Therefore, higher shift likelihood larger risk premia. These arguments together imply VVR should positively...

Foreign and politically connected large investors, like foreign government improve firm value through the provision of market access government-related contracts. In short run, welcomes investments in expectation potential monitoring internationalization benefits. long target firms' degree Tobin's q increase substantially after investments. The is directly related to number contracts granted by investing countries. companies contribute investors' markets transferring technological know-how,...

We assess the effect of aggregate stock market illiquidity on U.S. Treasury bond risk premia.We find that variable adds to well established Cochrane-Piazzesi and Ludvigson-Ng factors.It explains 10%, 9%, 7%, 7% one-year-ahead variation in excess return for two-, three-, four-, five-year bonds respectively increases adjusted R 2 by 3-6% across all maturities over Cochrane Piazzesi (2005) Ludvigson Ng (2009) factors.The effects are highly statistically economically significant both out...

We use the introduction and subsequent removal of flash order facility (an actionable indication interest, IOI) from NASDAQ as a natural experiment to investigate impact voluntary disclosure trading intent on market quality.We find that orders significantly improve liquidity in NASDAQ.In addition, overall quality improves substantially when functionality is introduced deteriorates it removed.One explanation for our findings are placed by less informed traders fulfill their role an...