This paper examines the correlations between unexpected market moves and unexpected equity portfolio moves conditional upon market performance. Unexpected returns are derived from a two stage regime switching model. The model allows for time-varying expected returns where the market portfolio...

The relative prices of Samp;P 500 index call and put options convey information regarding the future return of the Samp;P 500 index realized over the life of the options. When call options are relatively more expensive than put options, the index earns higher returns. Specifically, the natural...

This paper extends the Forbes and Rigobon (2002) adjustment to account for heteroscedasticity and time-varying market volatility biases in conditional correlations for U.S. size and industry portfolios. After the adjustments, it is possible to compare correlations across conditioning sets. While...

We examine the correlations between unexpected market moves and unexpected equity portfolio moves conditional on market performance. We derive unexpected returns from a two-stage regime switching model. The model allows for time-varying expected returns where the market portfolio alone dictates...

This paper examines the lead-lag relationship between futures trading activity (volume and open interest) and cash price volatility for major agricultural commodities. Granger causality tests and generalized forecast error variance decompositions show that an unexpected increase in futures...

We examine the correlations between unexpected market moves and unexpected equity portfolio moves conditional on market performance. We derive unexpected returns from a two-stage regime switching model. The model allows for time-varying expected returns where the market portfolio alone dictates...

Option pricing is complicated by the theoretical existence of risk premiums. This article utilizes a testable methodology to extract the pricing impact resulting from these risk premiums. First, option prices (based on the full dynamics of the underlying) are computed under the assumption that...