We review and synthesize the empirical evidence on several factors related to petroleum product prices: (1) the general distributional characteristics of petroleum product prices; (2) the influence of refinery outages, extreme weather, and similar circumstances on product prices; (3) the way...

We review a large body of the empirical literature focusing on the relation between petroleum product prices and oil prices and discuss the evidence on the direction of causality between crude oil prices and petroleum product prices. In addition, we survey the literature on the much-debated...

The Dodd-Frank Act (Section 939B) enacted in 2010 repealed credit rating agencies' (CRAs) exemption from Regulation Fair Disclosure. Testing whether CRAs continue to provide new information to the market after the repeal, we find that the significant pre-repeal stock price responses to rating...

Option pricing models and longer-term VaR models typically require volatility forecasts over horizons considerably longer than the data frequency. These are generally generated from short-horizon forecasts by successive forward substitution. We document deficiencies with the resulting...

We study the dynamics of cash-and-carry arbitrage using the U.S. crude oil market. Sizable arbitrage-related inventory movements occur at the NYMEX futures contract delivery point but not at other storage locations where, instead, operational factors explain most inventory changes. We add to the...

The procedures used in corporate bond event studies to date fail to control for heteroskedasticity due to differences in return volatility by term-to-maturity, rating, and other factors resulting in low test power. Bond return standardization yields considerably more powerful tests. Also, due to...

We examine the impact of the monthly Employment Situation Report issued by the Bureau of Labor Statistics (BLS) and of analyst forecasts of that report on U.S. Treasury securities market. Surprise increases in total non-farm payroll employment lead to increases in interest rates (especially 1-...

We examine whether any second order derivatives besides gamma and any third order derivatives are important in explaining changes in the prices of Samp;P 500 futures options over one week holding periods. We find that while gamma is normally the most important of the higher order derivatives,...

Both bond rating agencies and stock analysts evaluate publicly traded companies and communicate their findings and opinions to investors. This study compares the timeliness of each and explores Granger causality between the two. We find that bond rating downgrades are partially a response to...