The majority of common stocks that have appeared in the Center for Research in Security
Prices (CRSP) database since 1926 have lifetime buy-and-hold returns less than one-month …

The relations between volume, volatility, and market depth in eight physical and financial
futures markets are examined. Evidence suggests that linking volatility to total volume does not …

Spot power prices are volatile and since electricity cannot be economically stored, familiar
arbitrage‐based methods are not applicable for pricing power derivative contracts. This paper …

I examine the uniformity of risk pricing in futures and asset markets. Tests against a general
alternative do not reject complete integration of futures and asset markets. As predicted, …

This study assesses trade execution costs and market quality for NYSE and Nasdaq stocks
before and after the 2001 change to decimal pricing. Several theoretical predictions are …

We use the term structure of futures prices to test whether investors anticipate mean reversion
in spot asset prices. The empirical results indicate mean reversion in each market we …

We examine whether greater futures‐trading activity (volume and open interest) is associated
with greater equity volatility. We partition each trading activity series into expected and …

We analyze the empirical power and specification of test statistics designed to detect abnormal
bond returns in corporate event studies, using monthly and daily data. We find that test …

We develop a simple model of the effect of public transaction reporting on trade execution
costs and test it using a sample of institutional trades in corporate bonds, before and after …

Corporate risk hedging with forward contracts increases value by reducing incentives to
underinvest. This occurs because the hedge decreases the sensitivity of senior claim value to …