The Illiquidity of Corporate Bonds

This paper examines the illiquidity of corporate bonds and its asset‐pricing implications. Using transactions data from 2003 to 2009, we show that the illiquidity in corporate bonds is substantial, significantly greater than what can be explained by bid–ask spreads. We establish a strong link between bond illiquidity and bond prices. In aggregate, changes in market‐level illiquidity explain a substantial part of the time variation in yield spreads of high‐rated (AAA through A) bonds, overshadowing the credit risk component. In the cross‐section, the bond‐level illiquidity measure explains individual bond yield spreads with large economic significance.     

8招化解供应链风险

经济衰退和复苏都会给企业的供应链带来巨大的风险,这里,我们提供8条建议来协助企业更好地管理供应链(客户和供应商)。1可视化风险,做长远打算只有确切了解供应链中的薄弱环节所在,才能很好地控制它。     

The contribution of home economics teaching to nutrition knowledge and food choice among adolescents

The diets of two groups of adolescent schoolchildren living in Lothian were assessed. Children who studied Home Economics at Standard Grade were compared with those who did not. A short questionnaire and a dietary diary were used to establish nutrition knowledge and food choice over a period of 7 days, allowing comparisons to be drawn between students who study Home Economics and those who do not. Nutrition knowledge was better among those studying Home Economics. Eating patterns among those studying Home Economics followed more closely the recommended percentages of dietary energy derived from protein, fat and carbohydrate, but there was also considerable evidence that those studying Home Economics tended to eat less generally and to have lower intakes of micronutrients, such as calcium, iron and folic acid. Possible reasons for the differences in nutrition knowledge and eating habits are discussed, with some indicators for future work in this area.     

The Geography of Block Acquisitions

Using a large sample of partial block acquisitions, we examine the importance of geographic proximity in corporate governance and target returns. We find that block acquirers have a strong preference for geographically proximate targets and acquirers that purchase shares in such targets are more likely to engage in post‐acquisition target governance activities than are remote block acquirers. Moreover, the targets of these acquirers realize higher announcement returns and better post‐acquisition operating performance than do targets of other types of acquirers, particularly when they face greater information asymmetries.     

Robust Measures of Earnings Surprises

Event studies of market efficiency measure earnings surprises using the consensus error (CE), given as actual earnings minus the average professional forecast. If a subset of forecasts can be biased, the ideal but difficult to estimate parameter‐dependent alternative to CE is a nonlinear filter of individual errors that adjusts for bias. We show that CE is a poor parameter‐free approximation of this ideal measure. The fraction of misses on the same side (FOM), which discards the magnitude of misses, offers a far better approximation. FOM performs particularly well against CE in predicting the returns of U.S. stocks, where bias is potentially large.     

世界互联网城市网络的可达性与等级体系

根据2008年全球互联网地图,利用网络分析方法,计算了城市节点的整体可达性和最短距离可达性,并结合总带宽和连线数据,对世界互联网城市进行了等级划分。研究表明:影响世界互联网城市节点整体可达性和最短距离可达性的关键因素略有不同;世界互联网城市等级体系是建立在原世界城市体系上的一种新等级,其受节点网络功能、世界金融中心地位、国际航空交通运量,以及GDP和综合竞争力等因素影响。     

Noise as Information for Illiquidity

We propose a market‐wide liquidity measure by exploiting the connection between the amount of arbitrage capital in the market and observed “noise” in U.S. Treasury bonds—the shortage of arbitrage capital allows yields to deviate more freely from the curve, resulting in more noise in prices. Our noise measure captures episodes of liquidity crises of different origins across the financial market, providing information beyond existing liquidity proxies. Moreover, as a priced risk factor, it helps to explain cross‐sectional returns on hedge funds and currency carry trades, both known to be sensitive to the general liquidity conditions of the market.     

International Housing Markets and the U.S. Subprime Crisis

We propose a novel decomposition approach to study the degree of co-movement of international housing markets while distinguishing among different economic drivers. We find that the housing market variability for an average country was mainly driven by the common housing risk premium components during the years leading up to the 2007–08 subprime financial crisis. A decrease in the common housing risk premium was followed by a housing boom and economic expansion in the United States prior to the crisis. Our findings add to the understanding of the role of common risk factors across international housing markets before the crisis.     

Dissecting the Long-Term Performance of the Chinese Stock Market

Domestically listed Chinese (A-share) firms have lower stock returns than externally listed Chinese, developed, and emerging country firms during 2000 to 2018. They also have lower net cash flows than matched unlisted Chinese firms. The underperformance of both stock and accounting returns is more pronounced for large A-share firms, while small firms show no underperformance along either dimension. Investor sentiment explains low stock returns in the cross-country and within-A-share samples. Institutional deficiencies in listing and delisting processes and weak corporate governance in terms of shareholder value creation are consistent with the underperformance in stock returns and net cash flows.