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Working Paper
Fed-Driven Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications
Yang, Xiye; Neely, Christopher J.; Erdemlioglu, Deniz (2025-05-27)
We develop a framework to measure market-wide (systemic) tail risk in the cross-section of asset returns. Using high-frequency data on individual U.S. stocks and sector-specific ETF portfolios, we estimate time-varying jump intensities and multi-asset tail risk around Fed policy announcements. While most FOMC announcements generate systemic left-tail risk, there is no evidence that macro announcements have a similar effect. The magnitude of the tail risk induced by Fed policy announcements varies over the business cycle, peaks during the global financial crisis and remains high during phases ...
Working Papers , Paper 2023-016

Report
Price and size discovery in financial markets: evidence from the U.S. Treasury securities market
Nguyen, Giang; Fleming, Michael J. (2013)
We study the workup protocol, an important size discovery mechanism in the U.S. Treasury securities market. We find that shocks in workup order flow explain 6-8 percent of the variation of returns on benchmark notes and, across maturities, contribute 10 percent to the variation of the yield curve level factor. Information related to proprietary client order flow is more likely to show up in workup trades, whereas information derived from public announcements is more likely to come through pre-workup (or “lit”) trades. Our findings highlight how the nature of information affects the ...
Staff Reports , Paper 624

Working Paper
The Dotcom Bubble and Underpricing: Conjectures and Evidence
Sampaio, Joelson Oliveira; Pinheiro, Roberto; de Carvalho, Antonio Gledson (2016-12-21)
We provide conjectures for what caused the price spiral and the high underpricing of the dotcom bubble of 1999?2000. We raise two conjectures for the price spiral. First, given the uncertainty about the growth opportunities generated by the new technologies and their spillover effects across technology industries, investors saw the inflow of a large number of high-growth firms as a sign of high growth rates for the market as a whole. Second, investors interpreted the wave of highly underpriced IPOs as an opportunity to obtain gains by investing in newly public companies. The underpricing ...
Working Papers (Old Series) , Paper 1633

Report
Intraday Price Pressure and Order Flow Around U.S. Treasury Auctions
Liu, Weiling; Fleming, Michael J.; Nguyen, Giang (2026-03-01)
Using thirty-three years of intraday Treasury data, we provide the first high-frequency evidence on auction-day price pressure: yields rise in the hours before auction and reverse afterward. This pressure strengthens when dealers face tighter risk-bearing constraints and weakens when investor demand is stronger or more elastic. More importantly, net order flow dominates in explaining the pressure, providing the first direct evidence that trading transmits dealer constraints into prices. Despite concerns about dealer capacity amid rapid federal debt growth, price pressure has not increased in ...
Staff Reports , Paper 1188

Working Paper
Mandatory Disclosure and Financial Contagion
Alvarez, Fernando; Barlevy, Gadi (2014-04-28)
This paper analyzes the welfare implications of mandatory disclosure of losses at financial institutions when it is common knowledge that some banks have incurred losses but not which ones. We develop a model that features contagion, meaning that banks not hit by shocks may still suffer losses because of their exposure to banks that are. In addition, we assume banks can profitably invest funds provided by outsiders, but will divert these funds if their equity is low. Investors thus value knowing which banks were hit by shocks to assess the equity of the banks they invest in. We find that when ...
Working Paper Series , Paper WP-2014-4

Working Paper
How Markets Process Macro News: The Importance of Investor Attention
Kroner, Niklas (2025-03-26)
I provide evidence that investors' attention allocation plays a critical role in how financial markets incorporate macroeconomic news. Using intraday data, I document a sharp increase in the market reaction to Consumer Price Index (CPI) releases during the 2021-2023 inflation surge. Bond yields, market-implied inflation expectations, and other asset prices exhibit significantly stronger responses to CPI surprises, while reactions to other macroeconomic announcements remain largely unchanged. The joint reactions of these asset prices point to an attention-based explanation–an interpretation ...
Finance and Economics Discussion Series , Paper 2025-022

Working Paper
The Closing of a Major Airport: Immediate and Longer-Term Housing Market Effects
Cohen, Jeffrey P.; Coughlin, Cletus C.; Ross, Stephen L.; Crews, Jonas C. (2021-01-19)
The closing of a busy airport has large effects on noise and economic activity. Using a unique dataset, we examine the effects of closing Denver’s Stapleton Airport on nearby housing markets. We find evidence of immediate anticipatory price effects upon announcement, but no price changes at closing and little evidence of upward trending prices between announcement and closing. However, after airport closure, more higher income and fewer black households moved into these locations, and developers built higher quality houses. Finally, post-closing, these demographic and housing stock changes ...
Working Papers , Paper 2020-001

Working Paper
Rival Growth Prospects and Equity Prices: Evidence from Mass Layoff Announcements
Pinheiro, Roberto; Bordeman, Adam; Kannan, Bharadwaj (2016-04-18)
We investigate the impact of mass layoff announcements on the equity value of industry rivals. When a layoff announcement conveys good (bad) news for the announcer, rivals on average witness a 0.44 percent increase (0.60 percent decrease) in cumulative abnormal stock returns. This effect is concentrated on rivals with high growth opportunities. Consistent with this finding, we also show that our results are strongest in technology industries, where growth opportunities matter the most. Our results suggest that investors perceive layoff announcements as news about industry prospects rather ...
Working Papers , Paper 16-10R

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