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Journal Article
Valuation models for default-risky securities: An overview
Nandi, Saikat (1998-10-04)
Valuing financial securities often assumes that the contractual obligations of the security are going to be honored. However, frequently a party to a contract will default on its obligations. Because the contractual features of defaultable securities are usually complex and it is difficult to find comparable securities for which to observe prices, valuation requires formal models that take into account the security's complexities and the uncertainties surrounding future cash flows. Many financial institutions hold large amounts of these securities in their portfolios, and it is important that ...
Economic Review , Volume 83 , Issue Q 4 , Pages 22-35

Journal Article
Globalization of stock, futures, and options markets
Abken, Peter A. (1991-07)
Economic Review , Issue Jul , Pages 1-22

Journal Article
Competitiveness and price setting in dealer markets
Church, Bryan K.; Ackert, Lucy F. (1998-07-03)
The behavior of securities dealers has been closely scrutinized in the 1990s. Recent investigations of the National Association of Securities Dealers and the Nasdaq market by the U.S. Department of Justice and the Securities and Exchange Commission suggest that market makers colluded to fix prices and widen bid-ask spreads in attempts to increase dealers' profits at investors' expense. At a minimum, market makers appear to have adopted a quoting convention that can be viewed as anticompetitive behavior. ; This article explores the Nasdaq pricing controversy in light of economic theory and ...
Economic Review , Volume 83 , Issue Q 3 , Pages 4-11

Journal Article
Treasury auctions: what do the recent models and results tell us?
Nandi, Saikat (1997-10-04)
Auctions, as selling mechanisms, have existed for well over two thousand years. Today, one of the most important auction markets in the world is that of U.S. Treasury securities; approximately $2 trillion worth of Treasury securities was auctioned in 1995. ; A long-standing debate has been about selecting an appropriate auction format for various Treasury securities, a format that would be least subject to possible manipulation by individual traders or a cartel and also result in the highest possible revenues for the Treasury. The Treasury is currently experimenting with what is called a ...
Economic Review , Volume 82 , Issue Q 4 , Pages 4-15

Journal Article
The news in financial asset returns
Robotti, Cesare; Dwyer, Gerald P. (2004-01-01)
The notion that financial asset returns are predictors of future economic activity is widespread, but detailed analyses provide little support for financial markets? ability to reveal future economic activity. Even though the evidence on various indicators used by different researchers is mixed, the authors of this article explore the notion that financial markets reveal useful information about future economic activity. ; This article examines and answers two questions: First, what is a good way of extracting information about future economic activity from asset prices? Second, do financial ...
Economic Review , Volume 89 , Issue Q 1 , Pages 1 - 23

Journal Article
The insider trading debate
Noe, Thomas H.; Hu, Jie (1997-10-04)
Securities trading has generated some of the most sensational scandals in the popular business press. In one of the most publicized cases of insider trading, in the late 1980s Michael R. Milken and Ivan F. Boesky were sentenced to stiff prison terms and payment of enormous damage assessments and punitive penalties. However, at least among economists and legal scholars, insider trading remains a controversial economic transaction. A substantial body of academic and legal scholarship questions whether insider trading is even harmful, much less worthy of legal actions. ; The authors of this ...
Economic Review , Volume 82 , Issue Q 4 , Pages 34-45

Journal Article
Financial market frictions
Robotti, Cesare; DeGennaro, Ramon P. (2007-07-03)
Market frictions, which exist even in efficient markets and change over time, impede trade but also offer profit opportunities. To provide a framework for understanding market frictions, the authors classify frictions into five categories.
Economic Review , Volume 92 , Issue Q 3 , Pages 1-16

Journal Article
Using Eurodollar futures options: gauging the market's view of interest rate movements
Abken, Peter A. (1995-03)
Investors and analysts frequently use financial market prices in their attempts to divine market expectations--a difficult exercise because of the myriad influences on financial market prices. This article focuses on shifts in market outlook regarding the direction of interest rate movements since 1988 as well as market reaction to specific events influencing interest rate changes in the short run--namely, Federal Reserve monetary policy and its periodic Federal Open Market Committee meetings. ; The discussion examines the Eurodollar futures options traded at the Chicago Mercantile Exchange ...
Economic Review , Volume 80 , Issue Mar , Pages 10-30

Journal Article
Emotion and financial markets
Church, Bryan K.; Deaves, Richard; Ackert, Lucy F. (2003-04)
Psychologists and economists hold vastly different views about human behavior. Psychologists contend that economists' models bear little relation to actual behavior. This view is supported by a large body of psychological research that shows that emotional state can significantly affect decision making. ; Economists, on the other hand, argue that psychological studies have no theoretical basis and offer little empirical evidence about people's decision-making processes. The reigning financial economics paradigm-the efficient market hypothesis (EMH)-assumes that individuals make rational ...
Economic Review , Volume 88 , Issue Q2 , Pages 33-41

Journal Article
Options offer clue to market expectations
anonymous (1995-07)
Economics Update , Issue Jul , Pages 5

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