We examine the impact of the tick size reduction introduced by the CBOE in 2007 in its second pilot program on the simultaneous price discovery process in the markets for options and their underlying securities. We first document a major dependence in both the Information Shares (IS) and...

In this paper we examine the relative contributions of US and Canadian markets to price discovery for Canadian cross-listed options and their cross-listed underlying stocks. We use two different econometric approaches in assessing the contributions of each market to price discovery, the...

We document both theoretically and empirically a major dependence in both the Information Shares (IS) and Component Shares (CS) approaches to the estimation of the price discovery metrics on the errors arising out of the inversion method of the option value to find the implied stock price. We...

We document both theoretically and empirically a major dependence in both the Information Shares (IS) and Component Shares (CS) approaches to the estimation of the price discovery metrics on the errors arising out of the inversion method of the option value to find the implied stock price. We...

We document both theoretically and empirically a major dependence in both the Information Shares (IS) and Component Shares (CS) approaches to the estimation of the price discovery metrics on the errors arising out of the inversion method of the option value to find the implied stock price, as...

One approach that is gaining in popularity among portfolio managers uses ethical ratings, published by specialized research organizations, to screen securities for portfolio selection. Portfolio managers can thus gain a better understanding of the phenomenon and adopt a better and more...

French Abstract: Tout paiement d'intérêt sur un prêt a toujours été condamné comme de l'usure dans le Christianisme et dans l'Islam. Cette condamnation fut imposée par ces deux religions de par leur autorité, sans justification aucune. Malgré tout, elle a inspiré théologiens et...

This paper uses National Balance Sheet data and defines households' savings as the change in net worth estimated at book and at market value. The study examines the evolution of households' savings and financing of assets in Canada over the past forty years, and takes into account a set of...