This paper examines individual investors' trading behaviour by testing the presence of Monday and January anomalies on the Polish futures market, where individuals are the predominant trader type. Both anomalies are well established in the literature, and they are at least partially attributed...

This paper investigates a sample of 27 OECD countries to test whether national elections induce higher stock market volatility. It is found that the country-specific component of index return variance can easily double during the week around an election, which shows that investors are surprised...

Prior research documented that U.S. stock prices tend to grow faster during Democratic administrations than during Republican administrations. This letter examines whether stock returns in other countries also depend on the political orientation of the incumbents. An analysis of 24 stock markets...

In this paper, we investigate financial spillovers between capital markets during calm and turbulent times. We explicitly define financial spillovers and financial contagion in accordance to the economic literature and construct statistical models corresponding to these definitions in the Markov...

In this paper, we examine the relationship between expected excess returns and volatilities implied by options on interest rate-dependent securities, and estimate the market price of interest rate risk. If the short-term riskless rate of interest follows a one-factor lto process, then the...

In an efficient market, the no-arbitrage condition implies that the price difference between two assets is the market value of all differences in their cash flows. We use this logic to deduce the price of the prepayment option in fixed-rate GNMA mortgage-backed securities. The option price...

This paper presents a parsimonious, implementable model for the estimation of the short- and long-term expected rates of return on the Samp;P 500 stock market Index. The model estimates a parametric form for the Market Price of Risk, the Sharpe Ratio, of the Samp;P 500 Index. In addition to...

In this paper we examine the extent of the bias between Black-Scholes (1973)/Black (1976) implied volatility and realized term volatility in the equity and energy markets. Explicitly modeling a market price of volatility risk, we extend previous work by demonstrating that Black-Scholes is an...

In this paper we demonstrate the need for a negative market price of volatility risk to recover the difference between Black-Scholes (1973)/Black (1976) implied volatility and realized term volatility. Initially, using quasi-Monte Carlo simulation, we demonstrate numerically that a negative...

Using implied volatility analysis, this article addresses two important issues concerning callable bonds: negative option value anomalies and the optimal call decision rule. In examining apparent negative option values embedded in callable U.S. Treasury bonds, we significantly extend the sample...