We investigate the relationship between volatility and volume in five energy commodity futures contracts traded at the NYMEX for the period 1992 to 2006. We find that conditional volatility shows a high response to large information shocks and exhibits a great sensitivity to total expected and...

This paper develops an empirical cost of carry model for pricing crude oil futures by introducing an exogenously conditioned convenience yield as well as stochastic volatility. The approach is tested using monthly prices of all light crude oil futures contracts traded on the New York Mercantile...

Evidence is provided from changes in deposit insurance premiums in the early 1990s on the validity of the premium absorption hypothesis and thepremium shifting hypothesis. Analysis of abnormal market returns associated with deposit insurance events using a market model event study methodology...

We jointly re-specify the relative purchasing power parity (RPPP) and uncovered interest rate parity (UIP) conditions as the (log) ratio of stochastic discount factors by inverting the market price of risk formula. Our empirical model provides new insights, which show that violations to UIP and...

This study presents evidence on the influence of the regulatory environment of host and home countries, on firm value, when the firm announces a foreign acquisition. The study analyzes the valuation effects on financial firms, based on the returns to shareholders of 120 bidders from 13 home...

This study presents evidence on the influence of the regulatory environment of host and home countries, on firm value, when the firm announces a foreign acquisition. The study analyzes the valuation effects on financial firms, based on the returns to shareholders of 120 bidders from 13 home...

This volume, dedicated to John W. Kensinger, explores a variety of topics in financial economics, including firm growth, investment risks, and the profitability of the banking industry. With its global perspective, Essays in Financial Economics is a valuable addition to the bookshelf of any...