We use tick-by-tick quote data for 39 liquid US stocks and options on them, and we focus on events when the two markets disagree about the stock price in the sense that the option-implied stock price obtained from the put-call parity relation is inconsistent with the actual stock price. Option...

Past research in the US indicates that stock prices and earnings per share are related. Evidence pertaining to this relationship in other countries is not as extensive. This paper extends two recent studies focusing on Germany, and provides additional information concerning the important...

In this article authors first look at the relationship between market-based economic institutions and economic growth for transition economies. Though prior studies have found that those transition economies with a greater development of their financial infrastructure and other market-based...

This paper documents a stark periodicity in intraday volume and in the number of trades. We find activity in both variables spikes by about 20% at regular intervals of 5 or 10min throughout the trading day. We speculate this activity is either the result of algorithmic trading influenced by...

We estimate the impact of chief executive officer (CEO) incentives on the sensitivity of investment to cash flow during a period of strong economic growth. Our measure of the alignment of managers’ and shareholders’ interests, pay-performance sensitivity (PPS), incorporates both stock and...

Futures market officials are confronted with the difficult task of setting appropriate margin levels that must balance the costs of trader default and the benefits of increased market liquidity. One way to guard against default is prudent margin setting practices designed to protect futures...