As a reply to our critics, we show that Bozorgmehr et al. (2013) have (a) misunderstood, (b) misread, and (c) misinterpreted the literature review by Will et al. (2012).

In this paper we look at the relative information content of cash and futures prices for Canadian Government bonds. We follow the information-share approaches introduced by Hasbrouck (1995) and Harris et al (1995), applying the techniques in Gonzalo-Granger (1995), to evaluate the relative...

This paper presents some new results on the price discovery process in both the Canadian and U.S. 10-year Government bond markets using high-frequency data not previously analyzed. Using techniques introduced by Hasbrouck (1995) and Gonzalo-Granger (1995), we look at the relative information...

Ratios that indicate the statistical significance of a fund's alpha typically appraise its performance. A growing literature suggests that even in the absence of any ability to predict returns, holding options positions on the benchmark assets or trading frequently can significantly enhance...

We provide a new method to derive the state price density per unit probabilitybased on option prices and GARCH model. We derive the risk neutraldistribution using the result in Breeden and Litzenberger (1978) and thehistorical density adapting the GARCH model of Barone-Adesi, Engle, andMancini...

The writing of this article predates by several months the failure of Silicon Valley Bank and the takeover of Credit Suisse which occurred in March 2023. It does not represent the views of the European Central Bank (ECB) and should not be construed as linked to or an advice for the winding down...

We examine whether the option market leads the stock market with respect to positive in addition to negative price discovery. We document that out-of-themoney (OTM) option prices, which determine the Risk-Neutral Skewness (RNS) of the underlying stock return's distribution, can embed positive...

In this paper we analyze the source and magnitude of marketing gains from selling structured debtsecurities at yields that reflect only their credit ratings, or specifically at yields on equivalently ratedcorporate bonds. We distinguish between credit ratings that are based on probabilities of...

This paper investigates the market pricing of subprime mortgage risk on the basis of data forthe ABX.HE family of indices, which have become a key barometer of mortgage marketconditions during the recent financial crisis. After an introduction into ABX index mechanicsand a discussion of...

This paper presents a new method to detect informed trading activities in the options markets.An option trade is identified as informed when it is characterized by an unusual largeincrement in open interest and volume, induces large gains, and is not hedged in the stock market.For the period...