There is ample empirical literature centering on the effectiveness of foreign exchange intervention (FXI). Given the mix of objectives and country-heterogeneity, the general lack of consensus thus far is no surprise. We shed light on this debate by conducting the first comprehensive meta-analysis in the FXI literature, with 279 reported effects that stem from 74 distinct empirical studies. We cover estimations conducted in 19 countries across five decades. Overall, our meta-survey reports an average depreciation of domestic currency of 1% and a reduction of exchange rate volatility of 0.6%, in response to a $1 billion US dollar purchase. Results are qualitatively confirmed but smaller in size under fixed and random-effect estimations. When narrowing in on different economic factors, we find that effects are magnified for cases consistent with the monetary trilemma (greater if financial openness and monetary independence are low). Effects are also larger in emerging than advanced economies, when banking crises remain mild, and when interventions are large in size and are announced.

Loss aversion is one of the most widely used concepts in behavioral economics. We conduct a large-scale, interdisciplinary meta-analysis to systematically accumulate knowledge from numerous empirical estimates of the loss aversion coefficient reported from 1992 to 2017. We examine 607 empirical estimates of loss aversion from 150 articles in economics, psychology, neuroscience, and several other disciplines. Our analysis indicates that the mean loss aversion coefficient is 1.955 with a 95 percent probability that the true value falls in the interval [1.820, 2.102]. We record several observable characteristics of the study designs. Few characteristics are substantially correlated with differences in the mean estimates.

In this paper, we analyze the key drivers of bond covenant prices by employing a novel measurement approach based on secondary market data. We find that covenant prices vary significantly over time and are associated with market-wide credit risk, volatility, and macroeconomic variables. Apart from the time-series dynamics, there is also significant variation across bond and firm characteristics. In particular, covenant prices increase with the riskiness of bonds and are higher for firms that have more growth options, more tangible assets, and are smaller. Furthermore, we document a positive correlation between the prices of covenants and their subsequent inclusion rates

This paper examines global sources of short sellers’ informational advantage by analyzing their trading around public news releases in 38 countries. I find that shorts on negative news have stronger predictive power than nonnews shorts, but only in countries with high-quality public information, more news per stock, and higher illiquidity. These results indicate that some country-level factors discourage short sellers from trading on public information. Short sellers’ informational advantage in most countries seems to arise from their access to private information, as evidenced by their ability to anticipate future negative news and their trading in unison with insiders

We propose a new private information measure based on a model of strategic trade optimization in the cross section of securities. Investors receive liquidity and private information shocks and optimize trading across securities, accounting for price impact (Kyle’s λ). The model yields a simple private information measure: λ×OIB (order imbalance). Intuitively, order imbalance is more likely to be information-driven when trading is expensive. We validate our measure by showing that it is greater for smaller firms with higher analyst dispersion, peaks with insider trades, helps explain return reversals, predicts return volatility, and increases before M&A announcements and after analyst coverage terminations.

We propose a portfolio-balance model of the yield curve in which inflation is determined through an interest rate rule that satisfies the Taylor principle. Because arbitrageurs care about their real wealth, they only absorb an increase in the supply of nominal bonds if they are compensated with an increase in their real rates of return. Since the Taylor principle implies that the real return on nominal bonds positively depends on inflation, inflation increases in equilibrium when there is an increase in the supply of nominal bonds to compensate arbitrageurs for the additional supply they have to hold.

We study nine equity markets between 1900 and 1925 to provide an out-of-sample test of some major asset pricing anomalies during a period in which anomalies had not been documented. We find strong evidence of momentum in almost every market. We find no evidence of long-term reversals, which, coupled with the limited presence of institutional investors, suggests that underreaction should be considered as a key aspect of behavioral theories of momentum. We also find evidence for the size effect, betting-against-beta, and the outperformance of low volatility stocks, whereas we find mixed evidence of short-term reversal.

Internalization happens when orders submitted through the same broker are intentionally matched to each other on-exchange or off-exchange. We study the impact of allowing (modes of) internalization on trading rates, investor welfare, and payment for order flow (PFOF). Internalization affects the choice between limit orders and market orders and the participation of dealers in trading. Greater dealer participation creates a greater scope for PFOF. A crucial determinant is the size of the tick. For small ticks, compared with the absence of internalization, its presence leads to higher trading rates, lower investor welfare, and more PFOF. The opposite holds for wide ticks.

This study investigates the role of passive investors in the equity lending market by utilizing the expansion of exchange-traded fund (ETF) markets due to the Bank of Japan’s (BOJ) ETF purchasing program. We find that the BOJ’s purchases increase equity prices particularly for stocks with limited availability in the equity lending market. However, over the longer term, the BOJ’s cumulative purchases reduce lending fees, thus weakening the program’s effects. These findings suggest that ETF managers supply stocks that constitute ETFs to the equity lending market, and the lending behavior of ETFs, influenced by the BOJ’s program, alleviates short-selling constraints.

Given the complex and controversial nature of short-selling regulation, we review the academic literature and provide insights for policy makers and academics. We organize the complex history of short-selling regulation into three areas: trading restrictions, securities lending regulations, and disclosure requirements. We identify, analyze, and discuss 45 distinct regulations promulgated from 1896 to 2021, primarily by reviewing the academic literature and the data sources employed. We provide several insights regarding the effectiveness of regulatory approaches and the wider impact of short-selling regulation on markets.