Using intraday data, this study examines the lead/lag relations of prices and trading activity between the option and stock option markets during the period surrounding quarterly earnings announcements. We are unable to support Stephan and Whaley's (1990) findings that, in general, trading...

The New York Mercantile Exchange's Crude Oil futures contract is investigated for the existence and nature of risk premiums and informational efficiency. During 1983-90, there is some evidence that short-term premiums were positive and covaried with recent volatility. As for efficiency, we find...