Forecasting based pricing of Weather Derivatives (WDs) is a new approach in valuation of contingent claims on nontradable underlyings. Standard techniques are based on historical weather data. Forward-looking information such as meteorological forecasts or the implied market price of risk (MPR)...

Equity options exchanges in the United States use one of two models to execute marketable orders: the maker-taker model or the payment for order flow (PFOF) model. Exchanges utilizing the maker-taker model charge liquidity demanders a taker fee to access their liquidity. Exchanges utilizing the...

We examine determinants of U.S. equity trader maker-taker decisions (e.g., execute a non-marketable limit order or marketable order). Those with a higher maker tendency are slower, larger-size traders who exhibit smaller price impact and concentrate their trading in fewer markets. When the...

To study the effect of the legal system on the cost of external financing, we examine the degree of underpricing of the IPOs by foreign companies listed in the U.S. We find that firms from highly corrupted countries have larger IPO underpricing. The quality of the home countries' public law...

This paper examines the effects of the U.S. investor sentiment on American depository receipts (ADR) premiums by using daily prices of Latin American ADRs from 1995 to 2009. The volatility index (VIX) is used as a proxy for investor expectations about the stock market. High levels in the VIX...