This study investigates if changes in risk-neutral systematic volatility, skewness, and kurtosis, are priced, either symmetrically or asymmetrically, as systematic risk factors in the cross-section of stock returns. The moments are constructed using options on the S&P 500, and represent...

While insurers manage underwriting risk with various methods including reinsurance, insurers increasingly manage asset risk with options, futures, and other derivatives. Previous research shows that buyers of portfolio insurance pay considerably for downside protection. We add to this literature...

Corporate-level fraudulent activity has instilled a state of concern and heightened awareness in investors, the media and employees alike as perceived sensitivity to illegal behavior continues to increase. With corporate giants such as Enron, Tyco and Health South being prime examples of this...

This paper presents a parsimonious, implementable model for the estimation of the short-and long-term expected rates of return on the S&P 500 stock market Index. Sufficient statistics for the expected return on the S&P 500 Index consist of the risk-free rate of interest, the option market's...

Since the collapse of the Metallgesellschaft AG due to hedging losses in 1993, energy practitioners have been concerned with the ability to hedge long-dated linear and non-linear oil liabilities with short-dated futures and options. This paper identifies a model-free non-parametric approach to...

We study the perceived discrepancy between power conference and mid-major college football teams by examining outcomes of games when these teams face one another. We find that point spreads are set statistically irrationally in games where power conference teams play mid-major teams. We examine...

We propose a generalized, practitioner-oriented operating-leverage model for predicting operating income using net sales, cost of sales, depreciation, and SG&A. Prior research links operating income directly to these items; hence, our model includes all aggregate revenues and expenses that...