We document that leverage-adjusted returns on S&P 500 index call and put portfolios are decreasing in their strike-to-price ratio over 1986-2010, contrary to the prediction of the Black-Scholes-Merton model. We test a large number of plausible unconditional factor models and find that only...

The class action law suit Annie Adams et al - Southern New York, 12-cv-07461, claims that banks increased 6-months USD LIBOR rates on first business days of a month in order to take advantage of mortgage holders due to inflated reset rates on the mortgages. The claims do not seem to be supported...

American options on the S&P 500 index futures that violate the stochastic dominance bounds of Constantinides and Perrakis (2007) from 1983 to 2006 are identified as potentially profitable trades. Call bid prices more frequently violate their upper bound than put bid prices do, while violations...