This paper explores empirically the behavior of the Chicago Mercantile Exchange (CME) bitcoin futures contract. The analysis focuses on the time period between the launch of the CME bitcoin futures contract on December 18, 2017, and September 17, 2018. The behavior of the bitcoin spot market and...

Purpose: In 2009, effective the second-quarter, the financial accounting standards board mandated that all banks need to disclose the fair value of loans in their 10-Q filings in addition to their 10-K filings. This paper aims to investigate whether these disclosures reduced the level of...

This paper explores empirically the behavior of the Chicago Mercantile Exchange (CME) bitcoin futures contract. The analysis focuses on the time period between the launch of the CME bitcoin futures contract on December 18, 2017, and September 17, 2018. The behavior of the bitcoin spot market and...

This paper compares the performance of sector ETFs to their respective S&P industry GICS sector index and to their identified benchmark. We have defined sector risk exposure as the sector specific risk that cannot be eliminated via the portfolio's diversification across the given sector. We...

This paper compares returns of ETFs holding physical commodities and ETFs holding derivative products to their respective spot commodity returns to identify significant performance differences based on the ETF assets. We regress ETF returns on spot commodity returns to estimate beta and R2...

This paper contends that the discount for lack of marketability (DLOM) is the difference between the stock price of a liquid company and an equivalent illiquid company and reflects the lack of a free-trading option that is embedded within a company's stock. Longstaff derived a model that views...

This paper contends that the discount for lack of marketability (DLOM) is the difference between the stock price of a liquid company and an equivalent illiquid company and reflects the lack of a free-trading option that is embedded within a company's stock. Longstaff derived a model that views...