sing 1998 trade and quote data for securities listed on the Toronto Stock Exchange, this paper employs nonparametric estimation to measure the effect of being interlisted on a US exchange on: (i) the daily number of trades, trading volume, and dollar trading volume; (ii) the number of inside...

We present an extension of the traditional Sharpe ratio to allow for the evaluation of non-normal return distributions. Combining earlier work in this area with stochastic simulation, we develop a procedure that allows for the construction of a benchmark for the evaluation of the performance of...

This paper examines the relationship between credit spreads on industrial bonds and the underlying Treasury term-structure. Unlike previous studies, we use zero-coupon spot rates, which eliminate coupon bias, and so allow for a consistent study both within and across the different credit...

Several principal component models of volatility smiles and skews have been based on daily changes in implied volatilities, by strike and/or by moneyness. Derman and Kamal (1997) analyze S&P500 and Nikkei 225 index options where the daily change in the volatility surface is specified by delta...

In this paper we investigate whether it is possible for a fund of hedge funds to not only offer investors access to a diversified basket of hedge funds but to provide skewness protection at the same time. We study two different strategies. The first is for a fund to buy stock index puts and...

This paper analyses whether the amount households spend on education depends upon the returns to education prevalent in the region in which they live. To this end, we estimated rates of return to education separately for boys and girls in 33 states and UTs in India. These rates of return were...