A number of studies compare the efficiency and transparency of floor trading with automated/electronic trading systems in the competition for order flow. Although most of these studies find that electronic systems lead price discovery, a few studies highlight the weaknesses of electronic trading...

This study investigates the information content of futures option prices when the underlying futures price is regulated and the futures option price is not. The New York Board of Trade (NYBOT) provides the empirical setting for this regulatory mismatch. Many commodity derivatives markets...

Portfolio managers use index futures for a variety of reasons. Regardless of their motivation, they will keep a close eye on the relation between the index futures returns and their stock‐portfolio returns. Whenever this relation is perceived to have changed, the manager will decide whether it...

Using an extensive Australian sample, we explore two related issues in the context of a default risk asset-pricing factor (DEF) over the business cycle: (a) whether a DEF can explain the size premium in the three-factor Fama–French (FF) model; and (b) whether a DEF has a separate role...