Topic: Financial markets

1. Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing

   Working Paper 2007-47 - Fousseni Chabi-Yo, Dietmar Leisen, Eric Renault

   Asymmetric shocks are common in markets; securities' payoffs are not normally distributed and exhibit skewness. This paper studies the portfolio holdings of heterogeneous agents with preferences over mean, variance and skewness, and derives equilibrium prices.

   Topics: Financial markets; Market structure and pricing

2. Price Discovery in Canadian and U.S. 10-Year Government Bond Markets

   Working Paper 2007-43 - Bryan Campbell, Scott Hendry

   This paper presents some new results on the price discovery process in both the Canadian and U.S. 10-year Government bond markets using high-frequency data not previously analyzed. Using techniques introduced by Hasbrouck (1995) and Gonzalo-Granger (1995), we look at the relative information content of cash and futures prices in the market for Canadian Government bonds using futures market data from the Montreal Exchange and OTC cash market data reflecting the inter-dealer market covered by CanPx.

   Topics: Financial markets; Market structure and pricing