Using proprietary energy futures position data, we provide evidence that mean hedger profits are negative while speculator (especially hedge fund) profits are positive; that speculators and hedgers who hold long (short) positions when likely hedgers in aggregate are net short (long) have higher...

Using a unique proprietary data set of trades by all large traders in the crude oil, gasoline, and heating oil futures markets, we explore determinants of their individual trading profits/losses. Consistent with the risk premium hypothesis, hedgers' mean trading profits are significantly...

Using a unique proprietary data set of positions held by all large traders in the crude oil, gasoline, and heating oil futures markets, we use actual trader profits to test the predictions of various commodity futures pricing models. We find statistically and economically significant evidence...

We explore the impact of earnings announcements on equity markets, using intraday price data for the DJIA stocks. We find on a daily basis, an abnormally high volatility only within one day following the overnight announcement. On an intraday basis, a striking volatility spike stands out during...

We examine stock market returns at short intervals following after-hours earnings announcements to determine whether the opening price set by NYSE market makers is efficient. Our tests of return volatility, correlation of the close-to-open return with subsequent returns, and trading strategies...