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Asset Pricing and the Merton Model

Value Regimes

There have been several measures of value in recent years, and for this paper, we choose quality-minus-junk (QMJ) to test the pricing of two asset pricing models. Fama-French 5 factor model and the lesser-known, q-factor model. We utilize a Hidden …

Pandemic Effects on Robinhood Trading

We study the activity of Robinhood traders and find that the number of Robinhood clients markedly increased when sports betting was on hold due to the suspension of the NBA and NHL seasons.

Currency Risk and Information Diffusion

This paper explores whether informed trading in equity markets is a determinant of information diffusion from currency markets.

Identifying and Pricing Adverse Selection Risk with VPIN

Informed trading measured by VPIN is priced, and is not explained by firm characteristics such as volume, volatility, or liquidity, supporting the validity of the measure.