We use contingent claim asset pricing and exploit capital structure priority to better understand the relation between corporate security returns and interest rate changes. We show theoretically and confirm empirically that the interest rate sensitivity, or duration, of a security within a...

In this paper, we investigate empirically the well-known put-call parity no-arbitrage relation in the presence of short sale restrictions. We use a new and comprehensive sample of options on individual stocks in combination with a measure of the cost and difficulty of short selling, specifically...

We provide a test of the liquidity preference hypothesis (i.e., the monotonicity of ex ante term premiums), conditioning on the shape of the yield curve. The approach we use is general, and does not require a structural model for conditional expected returns. Using nonparametric estimates, the...

In this paper, we investigate empirically the well-known put-call parity no-arbitrage relation in the presence of short sale restrictions. We use a new and comprehensive sample of options on individual stocks in combination with a measure of the cost and difficulty of short selling, specifically...

In this paper, we investigate empirically the well-known put-call parity no-arbitragerelation in the presence of short sale restrictions. We use a new and comprehensivesample of options on individual stocks in combination with a measure of the cost anddifficulty of short selling, specifically...

This paper uses contingent claim asset pricing and exploits capital structure priority to better understand the relation between corporate security returns and interest rate changes (i.e., duration). We show theoretically and, using a novel dataset, confirm empirically that lower priority...