Purpose – The purpose of this paper is to examine the extent of systemic risk and competition in over‐the‐counter (OTC) derivatives dealing. Using derivatives‐related failures during the 1990s, the authors draw conclusions that are pertinent to the recent financial market turmoil...

We develop a valuation model that integrates corporate capital structure and dividend payout policies. The resulting extended Miller (1977) model explicitly incorporates the different tax rates on corporate income, personal interest, dividends, and capital gains. We apply the model to ten...

We find that, on average, for the full sample of stocks comprising the Samp;P 100 index, theoretically superior implied volatilities are less accurate forecasts than historically based forecasts of future volatilities. However, when we split our sample based on proxies for liquidity, we find...