An empirical investigation of the market for Comex gold futures options

Article Abstract:

Option-pricing models that assume a constant interest rate may misprice futures options if the interest rate fluctuates significantly or if the price of the underlying asset is correlated with the interest rate. The futures option-pricing model or Ramaswamy and Sundaresan allows for a stochastic interest rate and correlation of the underlying asset's price with the interest rate. Using a data set of daily closing prices for Comex gold futures options, this paper tests the Ramaswamy and Sundaresan model against a constant interest rate model. Results indicate that the stochastic interest rate model is a superior predictor of market prices. (Reprinted by permission of the publisher.)

Gold, Commodity futures, New York Mercantile Exchange Inc. COMEX Div.

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Default premiums in commodity markets: theory and evidence

Article Abstract:

We model the effect of nonperformance risk on forward and futures pricing and look for evidence of nonperformance risk in precious metals futures prices from the "Hunt Brothers" episode. Changes in default premiums are measured and related to the sequence of events in the metals markets during this period. Results suggest first that ex ante costs of nonperformance can be a significant, priced factor in commodity markets and second that the arrival of new information is often associated with changes in these costs. The evidence has implications for both theoretical and empirical research on commodity markets. (Reprinted by permission of the publisher.)

Futures market, Futures markets, Commodity exchanges, Precious metals, Default (Finance)

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Regulation Fair Disclosure and earnings information: market, analyst, and corporate responses

Article Abstract:

Research indicates that Regulation Fair Disclosure has increased trading volume as a result of differences in opinion due to greater amount of information now available, though no pronounced changes in return volatility have been observed.

Legal issues & crime, Government regulation (cont), Government regulation, Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors, Securities & Commodities Regulatn, Legal/Government Regulation, Economic aspects, Laws, regulations and rules, Comparative analysis, Securities law, Securities trading

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