Shorting the bear: a test of anecdotal evidence of insider trading in early stages of the sub-prime market crisis... The principal research objective is to enhance our understanding of the extent of strong form inefficiency in equity derivative markets....
Margin requirements, volatility, and market integrity: what have we learned since the crash?... The evidence does not support the hypothesis that there is a stable inverse relationship between the level of Regulation T margin requirements and stock returns volatility nor does it support the hypothesis that the leverage advantage in equity derivative products is a source of additional returns volatility in the stock market.
Margin requirements, volatility, and market integrity: what have we learned since the crash?... The evidence does not support the hypothesis that there is a stable inverse relationship between the level of Regulation T margin requirements and stock returns volatility nor does it support the hypothesis that the leverage advantage in equity derivative products is a source of additional returns volatility in the stock market.Securities
Implicit trigger price determination for contingent convertible bond...contracts.In particular we exploit prices for CoCo bonds traded in real financial markets and the values obtained by the credit derivative as well as by the equity derivative method, to determine the associated implicit trigger price....
