We propose a novel approach to comparing publications across business disciplines. Specifically, we aim to provide an objective method for evaluating the interdisciplinary value of publications based on intradisciplinary author rankings. Using publication data from the leading journals in...

This note derives a hedging rule under the assumption of noisy forward prices. Forward prices are assumed to be noisy due to non-storability of the underlying product and the resulting lack of carry arbitrage. The minimum-variance hedge ratio increases nonlinearly with decreasing time to...

This paper provides a theoretical and empirical investigation of the impact of bond futures trading on the price of the underlying bond. Using data from German government bond and futures markets, it is found that cheapest-to-deliver bonds trade on a premium that decreases towards zero as the...

This article investigates the delta hedging performance of the skewness and kurtosis adjusted Black-Scholes model of Corrado and Su (1996) and Brown and Robinson (2002). The empirical tests in the FTSE 100 index option market show that the more sophisticated skewness and kurtosis adjusted model...

This paper examines the impact of inflation and economic growth expectations and perceived stock market uncertainty on the time-varying correlation between stock and bond returns. The results indicate that stock and bond prices move in the same direction during periods of high inflation...

This paper examines whether the systemic risk of financial institutions is associated with the risk-taking incentives generated by executive compensation. We measure managerial risk-taking incentives with the sensitivities of chief executive officer (CEO) and chief financial officer (CFO)...