Since the Fall of 2008, the benchmark West Texas Intermediate (WTI) crude oil has periodically traded at unheard-of discounts to the corresponding Brent benchmark. This discount is not reflected in the price spreads between Brent and other benchmarks that are directly comparable to WTI. Drawing...

We study the conditional probability of stock price reversals. The key conditioning variable is the level of margin required. We find that low margin levels are significantly related increased probability of price reversals

This article examines the major differences in the financial characteristics of banking organizations that use derivatives relative to those that do not. We find that derivatives usage appears to foster greater business lending and hold lower levels of costly capital

If the seller of a Treasury bill does not provide timely and correct delivery instructions to the clearing bank, the bank does not deliver the security. Furthermore, the seller is not paid until this quot;failed deliveryquot; is rectified. Since the purchase price is not changed, these...

We study a series of weekly term premia extracted from U.S. Treasury bill quotations from 1970-1982. We choose this period because it is characterized by high and variable inflation. We find that spot and forward rates are cointegrated and that the series of their differences is stationary. This...

This paper analyzes the dynamics of price formation for a strictly identical derivatives contract which is traded simultaneously at two competing exchanges. The domestic exchange is situated in the country that issues the underlying instrument. The foreign exchange offers a large international...

Since 1985 commercial banks have become active participants in the interest-rate derivative products markets either as end-users or as intermediaries or as both. Over this same period significant changes were made in the composition of bank portfolios. This paper investigates the relationship...

Certain nonrecurring circumstances associated with the passage of the Financial ServicesModernization Act of 1999 have created a unique opportunity for the market to obtainbank examination ratings of management quality. We utilize this natural experiment in order to determine how the market...

Certain nonrecurring circumstances associated with the passage of the Financial Services Modernization Act of 1999 have created a unique opportunity for the market to obtain bank examination ratings of management quality. We utilize this natural experiment in order to determine how the market...