This paper investigates an attempted delivery squeeze in a bond futures contract traded in
London. Using cash and futures trades of dealers and customers, we analyze their strategic …

We study the dispersion of month-end valuations placed on identical corporate bonds by
different mutual funds. Such dispersion is related to bond-specific characteristics associated …

This paper extracts both the implied default recovery ratio and the risk-neutral default probability
term structure for Russian Federation and Republic of Argentina US dollar Eurobonds …

Spain enacted a number of important debt management initiatives in 1997 to prepare its
Treasury bond market for European Monetary Union. We interpret the impacts of these changes …

This paper analyzes the correspondence between arbitrage sector pricing efficiency and the
short-term hedging costs and effectiveness of futures contracts. Reversals of initial contract …

Empirical tests of Euler equations relating security returns and consumption usually appear
to reject the model. Using a common specification of aggregate preferences and …

… This particular position is carried until date t + j, defined to be the first date upon which
the early unwinding return (either (6) or (7)) is positive. On date t + j, a reversing trade is …

… Glucksman Fellow Laurie Hodges, U Fi Wen and John Young provided thoughtful and
capable research assistance, İnteractive Data Corporation kindly supplied access to their …

We examine a fund manager's alleged manipulation of platinum and palladium futures
settlement prices. Using benchmarks from parallel electronic markets, we find that the manager's …

… MERRICK, JR., is assistant professor of finance, Graduate School of Basiness Admanistrationv
New York University. ANTHONY SAUNDERS is associate professor offinance, Graduate …