The dynamics of the unobservable short rate are frequently estimated directly using a proxy. We examine the biases resulting from this practice (the quot;proxy problemquot;). Analytic results show that the proxy problem is not economically significant for single-factor affine models. In the...

Spread options are options whose payoff is based on the difference in the prices of two underlying assets. The price of a spread option is the (discounted) double integral of the option payoffs over the risk-neutral joint distribution of the terminal prices of the two underlying assets. Analytic...

Using recent U.S. data we find that the patterns of returns around open-market share repurchases have changed compared to existing results based on earlier samples. The long-horizon abnormal returns estimated using various methodologies following repurchase announcements made after 2001 are much...

We use data on signed option volume to study which components of option volume predict stock returns and resolve the seemingly inconsistent results in the literature. We find no evidence that trades related to synthetic short positions in the underlying stocks contain more information than...

In the past 10 years, increasingly sophisticated statistical techniques have been applied to the estimation of increasingly complex models of the term structure of interest rates. In reviewing this literature, we highlight the facts that have been established and the key unresolved issues. The...

Most models of trade in speculative markets make the assumption that agents interpret public information identically. We provide empirical evidence that this assumption is overly restrictive. We begin by investigating the relation between the volume of trade and stock returns (NYSE, AMEX and...

The last three decades have witnessed a whole array of option pricing models. We compare the predictive performances of a selection of models by carrying out a horse race on Samp;P 500 index options along the lines of Jackwerth and Rubinstein (2001). The models we consider include:...

A firm hiring new workers has a choice: it can either hire permanentquot; workers, which means entering into a quot;life-time employmentquot; (long term) contract with them, or quot;temporaryquot; ones, who can be hired and fired according to current needs. We assume that the latter are less...