We investigate the information contained in the London Interbank Offered Rate (LIBOR) and the U.S. Constant Maturity Treasury (CMT) term structure of interest rates and report two novel findings. First, we document that the information contained in terms structures are significantly different...

Recent developments in biofuel technologies have resulted in heightened linkages between the petroleum and agricultural sectors. As such, a large price and/or volatility shift experienced in one sector is now more likely to spill-over into the other. In trying to capture the interrelations...

Performance attribution is extended to an enterprise level based on the keel model introduced here. Changes in enterprise value are decomposed into four components. The horizon component captures change attributable to time. The base-rate component captures movement in some reference term...

We investigate a little-known executive compensation device called dividend equivalent rights (DERs), which are provisions on some options and performance-based equity awards that permit executives to receive dividends on shares they do not own and may ultimately never own. To our knowledge,...

The word spelled f-i-n-a-n-c-e has two common pronunciations, one accenting the first syllable and the other accenting the second. English etymology, however, provides no indication of which pronunciation is preferred and which is more commonly used. Given that language evolves from human usage...

Using a unique and extremely granular data set of complete currency spot and derivatives positions for 101 large non-financial corporations, we compare the stated currency risk management policies with the actual strategies executed by these companies. We identify a notable discord between their...

We examine all S&P 500 firms over 1999-2014 that publicly characterize their annual performance with extreme positive language. We find that only 18% of such firms increase shareholder value, while nearly 75% have insignificant performance, and the remaining 7% actually destroy shareholder...

The difference between a basis option pricing model on futures or forward contracts, assuming both underlying futures contracts follow geometric Brownian motion, and a basis option pricing model on futures contracts, assuming both underlying securities follow arithmetic Brownian motion are non...

Using Eurodollar futures prices to assess information in the term structure of interest rates we find that Eurodollar futures rates have power to forecast period profits in the Eurodollar futures market (based on LIBOR). The more interesting discovery is that short-term implied futures rates...

Although most financial market anomalies have been studied in securities markets, the options market has shown evidence of its own anomaly in the performance of covered calls on the S&P 500. This finding is puzzling in that this index is clearly a zero-alpha investment with very high volume...