The development of asset pricing models that rely on instrumental variables together with the increased availability of easily-accessible economic time-series have renewed interest in predicting security returns. Evaluating the significance of these new research findings, however, is no easy...

U.S. exchange-traded stock options are exercisable before expiration. While put options should frequently be exercised early to earn interest, they are not. In this paper, we explain an early exercise decision rule and then examine actual exercise behavior during the period January 1996 through...

This paper examines the effects of the nondiscretionary trading demands of VIX exchangetradedproducts (ETPs) issuers on the prices and volumes in the VIX futures. We find thatthe ETPs’ information-less, mechanical rebalancing of futures positions to maintain theconstant maturity of the index...

Relative performance is central to investment management and yet relative performance securities do not trade directly. Complex trading strategies must be devised to capture relative gains. This paper introduces a suite of relative performance indexes and index derivatives that offer new and...

Recently, commodity index investing has come under attack. A Staff Report by the U.S. Senate Permanent Subcommittee on Investigation (hereafter, the "subcommittee report") "…finds that there is significant and persuasive evidence to conclude that these commodity index traders, in the...

The terms of stock option contracts are adjusted in the event of unexpected corporate actions, and the nature of the adjustments may result in windfall gains or losses to open option positions. This paper evaluates the fairness of the two different procedures used for special cash dividends. We...

This dissertation studies price discovery processes, stock order imbalances, and trading patterns around seasoned equity offerings. First chapter studies how the volatility of a stock is affected by the trading activity of other stocks. I construct a model of price discovery process after a...