Researchers employ various measures of risk attitudes to investigate their relation to market behavior with mixed results. We find that a higher-order global risk attitude construct, developed using survey scales and experiments based on expected utility theory, is related to several marketing...

We introduce tractable models for commodity derivatives pricing with inventory and volatility effects, and illustrate with applications to the oil market. We contribute to the existing literature in several respects. First, whereas the previous literature uses futures data for investigating the...

The South African Futures Exchange (SAFEX) implemented anonymous trading on all their futures contracts on 26 May 2009. The impact of market design on market liquidity is still not well understood. Some markets, e.g. Hong Kong Stock Exchange, disclose broker mnemonics whereas in other markets,...

This study revisits the debate over whether a bias exists in new crop December corn and November soybeans futures and option prices. Some evidence of bias is found in December corn futures and December corn puts, but the evidence is substantially muted when transaction costs are taken into...

This paper investigates the determinants of transaction price changes during BUND-future trading at Deutsche Terminbörse (DTB) and London International Financial Futures Exchange (LIFFE). The analysis uses the ordered probit model, which is an econometric tool that is comparatively new to the...