Previous research has been mixed with respect to whether option implied volatility reflects market expectations about future realized volatility for the underlying asset. This paper uses a previously documented volatility increasing event, the stock split, to investigate the informational...

We estimate the conditional variance of daily stock returns using an extended GARCH model with event-related dummy variables to capture the predictable components of volatility change, such as earnings announcements, macroeconomic announcements, day-of-the-week effects, etc. We examine the...

This papers studies an options trading strategy known as dispersion strategy to investigate the apparent risk premium for bearing correlation risk in the options market. Previous studies have attributed the profits to dispersion trading to the correlation risk premium embedded in index options....

We examine how retailers discount the prices of product systems versus their constituent components. The topic is important because such systems are ubiquitous in our daily lives. In particular, many high-tech markets revolve around complex multi-component systems – e.g. a camera system...

The return of a product is often one of a series of transactions that a consumer undertakes in search of a good. Recognizing this, we analyze returns as part of a product search process: Upon returning a product, consumers may immediately purchase an alternative one, which they may later replace...