Substantial progress has been made in developing more realistic option pricing models.
Empirically, however, it is not known whether and by how much each generalization improves …

Which market attracts informed investors prior to extreme informational events? We examine
the information embedded in the stock and option markets prior to takeover announcements…

While recent studies document increasing idiosyncratic volatility over the past four decades,
an explanation for this trend remains elusive. We establish a theoretical link between growth …

To keep the conditional variances generated by the GARCH (p, q) model nonnegative,
Bollerslev imposed nonnegativity constraints on the parameters of the process. We show that …

We explore a new dimension of fund managers' timing ability by examining whether they
can time market liquidity through adjusting their portfolios' market exposure as aggregate …

Using data from the Australian Stock Exchange, the authors assess the information content
of an open limit‐order book with a particular focus on the incremental information contained …

Do long-term and short-term options contain differential information? If so, can long-term
options better differentiate among alternative models? To answer these questions, we first …

The absolute value of the mean‐corrected excess return is used in this paper to measure
the volatility of stock returns. We apply various nonlinearity tests available in the literature to …

This paper studies Nasdaq market makers' activities during the one and one‐half hour
preopening period. Price discovery during the preopening is conducted via price signaling as …

Credit default swaps (CDS) are similar to out-of-the-money put options in that both offer a
low cost and effective protection against downside risk. This study investigates whether put …