Accurate appraisal of hedge fund performance must recognize the freedom with which managers shift asset classes, strategies, and leverage in response to changing market conditions and arbitrage opportunities. The standard measure of performance is the abnormal return defined by a hedge fund's...

The need to understand and measure the determinants of market maker bid/ask spreads is crucial in evaluating the merits of competing market structures and the fairness of market maker rents. After providing a brief review of past work, this study develops a simple, parsimonious model for the...

This paper examines the relation between net buying pressure and the shape of the implied volatility function (IVF) of Samp;P 500 index options and options on twenty individual stocks. We find that time variation in the implied volatility of an option series is directly related to net buying...