Stephen Rush

Bowling Green State University | BGSU · Department of Finance

This data set contains rolling conditional correlation networks estimated from stock returns and the volume synchronized probability of informed trading. Only the largest 104 financial firms are included for the period of 1996 through 2012. The data was used to analyze banking sector systemic risk in Borochin and Rush (2022)[1].

We create and test two novel network-based measures of interconnectedness in the financial industry during 1996 to 2013. A network based on informed trading in financial firms predicts firm-specific risk and performance, while one formed on financial firm returns predicts future macroeconomic risk. The measure of informed trading is robust to varia...

The first essay is the result of work with Paul Borochin. We perform the first large-sample estimation of the Volume Synchronized Probability of Informed Trading (VPIN) measure on the NYSE TAQ universe, enabling us to test the validity of VPIN with high statistical power and to do traditional asset pricing tests of informed trading. Informed tradin...

Following the recession in the early 2000s, US corporate and public defined benefit (DB) plans faced unprecedented uncertainty with respect to their funding requirements going forward. Just as capital market performance started helping plan sponsors improve the health of their DB plans, the financial crisis of 2007–2009 delivered another serious bl...

We perform the first large-sample estimation of the Volume Synchronized Probability of Informed Trading (VPIN) measure on the NYSE TAQ universe, enabling us to test the validity of VPIN with high statistical power and to do traditional asset pricing tests of informed trading. Informed trading measured by VPIN is priced, and is not explained by firm...

This paper explores whether information asymmetry in equity markets is a determinant of information diffusion from currency markets. It provides evidence that price delay attributed to currency information is different than price delay attributed to the market risk premium. Furthermore, information asymmetry is a determinant of price delay and pric...

Tactical Asset Allocation is short-term deviation from a long-term portfolio allocation. Portfolio managers typically combine tactical asset allocation with their period rebalancing in order to add additional return that can justify management fees. Unfortunately, the frequency of tactical asset allocation prohibits the manager from using fundament...

China is a salient subject in U.S. trade policy debates as a result of its growing world influence and national interests that sometimes conflict with those of the United States. Often the focus on a sustainable current account deficit and the impact of increased financial integration is overlooked in favor of more emotional issues such as Chinese...