Prior to 1986, any opening position on feeder cattle futures contract must be settled with physical delivery after the last trading day. Due to dwindling commercial interests, Chicago Mercantile Exchange (CME) subsequently replaced the system with the cash settlement method. It was argued that...

Using intraday data on individual stocks included in the S&P 500 index, we present evidence of herd formation over the duration and aftermath of the Flash Crash on May 6, 2010, while no evidence of herding is observed preceding the event. The findings establish a clear link between herding among...

Regardless of the distributions of spot and futures returns, the hedge ratio determined by minimizing the portfolio's Aumann and Serrano (2008) index of riskiness is always smaller than the hedge ratio determined by minimizing the portfolio's variance. It is also demonstrated that the Foster and...

This paper analyzes the optimal production and hedging decisions of a competitive firm holding optimism and pessimism under price ambiguity. We show that the separation theorem remains intact as the firm's optimal output level depends neither on the output price distribution nor on the firm's...

Given the exponential growth in ETF trading over the past decade, we consider the proposition that trading in ETFs transmits volatility to their largest component stocks and thus to the stock market in general. We find empirical support for this proposition, since volatility spillovers from ETFs...

The Split share Structure Reform in year 2005-2006 raises the curtain for China's secondary privatization. It mitigates the agency conflicts between controlling shareholders and minority shareholders and, thus, brings substantial changes to China's financing behaviors. This paper aims to examine...

This article examines the presence of common factors in the evolution of stock option implied volatilities. We analyze the implied volatilities of ETF options and their largest component stocks, and the results strongly suggest the presence of both a market volatility factor and an industry...

We estimate the liquidity connectedness in the spot foreign exchange (FX) market based on an empirical network model. We find that the liquidity connectedness reflects the dynamic market uncertainties around the world. Supply- and demand-side factors are important drivers of liquidity...

The effect of nonheterosexuality on individual income is estimated using 1991-1996 General Social Survey data. Other researchers have concluded that homosexuals earn less than similarly qualified workers, in contrast to the popular perception that homosexuals are more affluent than...

This paper examines empirical links between sexual orientation and self-reported lying using data collected in several waves of Georgia Institute of Technology’s World Wide Web Users Survey. The data include questions about sexual orientation, lying in cyberspace, and a broad range of...