For short, long, and medium term interest rates, we explore the extent to which future interest rate volatility is predictable based on: 1) recent past volatility, 2) knowledge of when the FOMC will meet, when Treasury auctions will take place, and when important macroeconomic statistics will be...

Ratio spreads in which a trader buys calls (or puts) at one strike and sells an unequal number of calls at a different strike are among the most actively traded option combinations yet are only briefly mentioned in most derivatives texts and have received no attention in the research literature....

In many markets, changes in the spot price are partially predictable. We show that when this is the case: 1) although unbiased, traditional regression estimates of the minimum variance hedge ratio are inefficient, 2) estimates of the riskiness of both hedged and unhedged positions are biased...

Ratio spreads in which a trader buys calls (or puts) at one strike and sells an unequal number of calls at a different strike are among the most actively traded option combinations yet are only briefly mentioned in most derivatives texts and have received no attention in the research literature....

This paper represents an extension and integration of recent empirical and theoretical research on default risk and taxability. The purpose of the paper is to develop and test a model of interest rate spreads which incorporates both the effect of taxes and differences in default probabilities in...

Dividing the 223 largest traders of heating oil futures between June 1993 and March 1997 into 11 different line-of-business groupings, we document their trading activity. We find substantial and significant differences between the 11 trader types in their propensity to take long, short, or...

We model and examine the impact of information releases on market uncertainty as measured by the implied standard deviation (ISD) from option markets. Distinguishing between scheduled and unscheduled announcements, we hypothesize that since the timing, although not the content, of scheduled...

We extend the Limits to Arbitrage literature by studying how physical constraints affect financial arbitrage in commodity markets. Using the U.S. crude oil market as our experimental setting, we document substantial economically significant violations of the no-arbitrage futures pricing...

We review and synthesize the empirical evidence on several factors related to petroleum product prices: (1) the general distributional characteristics of petroleum product prices; (2) the influence of refinery outages, extreme weather, and similar circumstances on product prices; (3) the way...

We review a large body of the empirical literature focusing on the relation between petroleum product prices and oil prices and discuss the evidence on the direction of causality between crude oil prices and petroleum product prices. In addition, we survey the literature on the much-debated...