Keech and Munger (2015) argue that the failures of markets are often preceded by the failures of governments to define the necessary institutions needed for the success of markets. In this paper, we attempt to test this hypothesis by examining whether institutional quality is associated with...

We study trading of Bitcoin against US dollar (BTCUSD) on exchanges in three continents, Bitfinex, Bitstamp and Coinbase Pro. We use a high frequency dataset that contains transactions and order book information. The BTCUSD market is highly liquid in terms of bid-ask spreads and order book...

On the surface, cryptocurrencies share important features in common with high sentiment beta stocks. Baker and Wurgler (2007) identify high sentiment betas with small startup firms that have great growth potential. This paper investigates the degree to which, during the period July 18, 2010 to...

Using 1.7 trillion dollars of live trade execution data from a large institutional money manager across 21 developed equity markets over a 19-year period, we measure the real-world trading costs and price impact function of a large trader. We provide a novel description of how costs vary across...

We establish that the risk-return tradeoff of cryptocurrencies (Bitcoin, Ripple, and Ethereum) is distinct from those of stocks, currencies, and precious metals. Cryptocurrencies have no exposure to most common stock market and macroeconomic factors or to the returns of currencies and...

This paper provides an overview of sovereign debt portfolio risks and discusses various liability management operations (LMOs) and instruments used by public debt managers to mitigate these risks. Debt management strategies analyzed in the context of helping reach debt portfolio targets and...

This paper explores the gamma trading, timing and managerial skills of individual hedge funds across categories. We replicate the non-linear payoffs of hedge funds with traded options, with the option features being endogenously defined in our replication model. On top of providing a flexible...

We estimate trends in diversification for equity, debt, and real estate within and across countries. After 2000, we uncover a marked and near ubiquitous decline in diversification, which coincides with sharply higher levels of investment risk. This decline is associated with country economic...

We present new international diversification indexes across equity, sovereign debt, and real estate. The indexes reveal a marked and near ubiquitous decline in diversification potential across asset classes and markets for the post-2000 period. Analysis of panel data suggests that the decline is...

In a sample of U.S. stocks, higher stock lending fees predict significantly lower excess returns beyond shorting demand and loan supply. This relation is stronger after October 2008 which is likely attributable to a regime shift in the lending market with the onset of the Global Financial...