The BP Deepwater Horizon drilling rig exploded on April 20, 2010, leading to an unprecedented environmental and financial disaster. This paper details responses in the financial markets for BP securities, including stock, bonds, options, and credit default swaps. Following the disaster BP shares...

The study introduces empirical evidence that there are statistically significant relationships between intensity of upcoming aggregate merger activity and the present values of the factors HML and SMB in the Fama-French three-factor model of assets pricing

This paper develops a tractable asset pricing framework based on an Arrow Debreu economy with heterogeneous agents. The assumption of heterogeneity recasts the market rather than aggregate consumption as the key element for pricing securities. The model expresses some asset pricing relationships...

We show that if sophisticated institutional managers and individual investors perceive tail-risks differently, then a new explanation for the pricing kernel puzzle emerges. We show, by example, that even a tiny difference in tail-risk perception by the two investor types can explain the pricing...

Recent papers that have explored spot and futures markets for Bitcoin have concluded that price discovery takes place either in the spot, or the futures market. Here, we consider the robustness of previous price discovery conclusions by investigating causal relationships, cointegration and price...

In December 2017, both the CBOE and the CME introduced futures contracts on bitcoin. We investigate to what extent they provide useful information for the price discovery of bitcoin. We rely on the information share methodology of Hasbrouck (1995) and Gonzalo and Granger (1995) and find that the...

We evaluate price discovery in the natural gas futures and futures options markets using a transaction based approach. By sampling market maker prices, we allow for a distinction between buy and sell prices, both directly from the futures market, and implied from the options market. Information...

Using high-frequency data from the European Climate Exchange (ECX), we examine the determinants of price impact of €21 billion-worth of block trades during 2008-2011 in the European carbon market. We find that wider bid-ask spreads and volatility are characterised by smaller price impact....

Derivatives are playing an increasing role within the trading ecosystem of Bitcoin markets. This includes futures that are traded on US regulated exchanges like the Chicago Mercantile Exchange (CME) and unregulated exchanges like Binance. Prior research on which bitcoin markets lead in price...