TY - JOUR AU - MIXON, SCOTT AU - ONUR, ESEN T1 - Dividend Swaps and Dividend Futures: State of Play. JO - Journal of Alternative Investments JF - Journal of Alternative Investments Y1 - 2017///Winter2017 VL - 19 IS - 3 M3 - Article SP - 27 EP - 39 SN - 15203255 AB - The authors of this article use derivatives regulatory data to quantify the over the counter (OTC) index dividend swap market and contrast it with the listed index dividend futures market. They find US$2.5 billion in notional outstanding of market-facing OTC dividend swaps between dealers and end users, with another US$4 billion outstanding between dealers. The majority of the dealer-dealer swaps are in the S&P 500 (which has no listed futures contract), whereas the majority of transactions for non-U.S. underlyings are between dealers and end users. Although very standardized OTC swaps and listed futures coexist for several major indexes, only the listed EURO STOXX 50 future clearly dominates the OTC market, with nearly five times the notional outstanding of the OTC swaps. The authors observe an average of around one end user transaction per week for the OTC EURO STOXX market, with less activity in other indexes. Risk transfer appears to be largest for the EURO STOXX 50, with dealers net short nearly US$1 billion notional to end users. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Alternative Investments is the property of Euromoney Institutional Investor PLC and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DIVIDENDS KW - SWAPS (Finance) KW - DERIVATIVE securities KW - FUTURES market KW - EQUITY -- United States KW - UNITED States. Commodity Futures Trading Commission N1 - Accession Number: 120576495; MIXON, SCOTT 1; Email Address: smixon@cftc.gov; ONUR, ESEN 2; Email Address: eonur@cftc.gov; Affiliations: 1: Associate director of the Office of the Chief Economist at the Commodity Futures Trading Commission in Washington, DC; 2: Economist in the Office of the Chief Economist at the Commodity Futures Trading Commission in Washington, DC; Issue Info: Winter2017, Vol. 19 Issue 3, p27; Thesaurus Term: DIVIDENDS; Thesaurus Term: SWAPS (Finance); Thesaurus Term: DERIVATIVE securities; Thesaurus Term: FUTURES market; Subject Term: EQUITY -- United States ; Company/Entity: UNITED States. Commodity Futures Trading Commission; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 13p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=120576495&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Paddrik, Mark AU - Haynes, Richard AU - Todd, Andrew AU - Scherer, William AU - Beling, Peter T1 - Visual analysis to support regulators in electronic order book markets. JO - Environment Systems & Decisions JF - Environment Systems & Decisions Y1 - 2016/06// VL - 36 IS - 2 M3 - Article SP - 167 EP - 182 SN - 21945403 AB - Electronic markets and automated trading have resulted in a drastic increase in the quantity and complexity of regulatory data. Reconstructing the limit order book and analyzing order flow is an emerging challenge for financial regulators. New order types, intra-market behavior, and other exchange functionality further complicate the task of understanding market behavior at multiple levels. Data visualizations have proven to be a fundamental tool for building intuition and enabling exploratory data analysis in many fields. In this paper, we propose the incorporation of visualizations in the workflow of multiple financial regulatory roles, including market surveillance, enforcement and supporting academic research. [ABSTRACT FROM AUTHOR] AB - Copyright of Environment Systems & Decisions is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - Electronic markets KW - Electronic commerce KW - Finance -- Law & legislation KW - Data modeling KW - Law enforcement KW - Exploratory visual analytics KW - Financial data visualization KW - Limit order book N1 - Accession Number: 115774871; Paddrik, Mark 1; Email Address: mark.paddrik@ofr.treasury.gov; Haynes, Richard 2; Todd, Andrew 3; Scherer, William 3; Beling, Peter 3; Affiliations: 1: Office of Financial Research, U.S. Department of the Treasury, 717 14th St NW Washington 20005 USA; 2: Office of the Chief Economist, Commodity Futures Trading Commission, 1155 21st St NW Washington 20581 USA; 3: Department of Systems and Information Engineering, University of Virginia, Charlottesville 22903 USA; Issue Info: Jun2016, Vol. 36 Issue 2, p167; Subject Term: Electronic markets; Subject Term: Electronic commerce; Subject Term: Finance -- Law & legislation; Subject Term: Data modeling; Subject Term: Law enforcement; Author-Supplied Keyword: Exploratory visual analytics; Author-Supplied Keyword: Financial data visualization; Author-Supplied Keyword: Limit order book; NAICS/Industry Codes: 922190 Other Justice, Public Order, and Safety Activities; NAICS/Industry Codes: 922120 Police Protection; NAICS/Industry Codes: 454111 Electronic Shopping; NAICS/Industry Codes: 454110 Electronic shopping and mail-order houses; NAICS/Industry Codes: 425110 Business to Business Electronic Markets; Number of Pages: 16p; Document Type: Article L3 - 10.1007/s10669-016-9597-2 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=eih&AN=115774871&site=ehost-live&scope=site DP - EBSCOhost DB - eih ER - TY - JOUR AU - Motamed, Mesbah AU - McPhail, Lihong AU - Williams, Ryan AD - Economic Research Service, USDA AD - US Commodity Futures Trading Commission AD - Economic Research Service, USDA T1 - Corn Area Response to Local Ethanol Markets in the United States: A Grid Cell Level Analysis JO - American Journal of Agricultural Economics JF - American Journal of Agricultural Economics Y1 - 2016/04// VL - 98 IS - 3 SP - 726 EP - 743 SN - 00029092 N1 - Accession Number: 1570774; Keywords: Acreage; Agriculture; Corn; Cultivation; Ethanol; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 201606 N2 - We measure corn and total agricultural area response to the biofuels boom in the United States from 2006 to 2010. Specifically, we use newly available micro-scale grid cell data to test whether a location's corn and total agricultural cultivation rose in response to the capacity of ethanol refineries in their vicinity. Based on these data, acreage in corn and overall agriculture not only grew in already-cultivated areas but also expanded into previously uncultivated areas. Acreage in corn and total agriculture also correlated with proximity to ethanol plants, though the relationship dampened over the time period. A formal estimation of the link between acreage and ethanol refineries, however, must account for the endogenous location decisions of ethanol plants and areas of corn supply. We present historical evidence to support the use of the US railroad network as a valid instrument for ethanol plant locations. Our estimates show that a location's neighborhood refining capacity exerts strong and significant effects on acreage planted in corn and total agricultural acreage. The largest impacts of ethanol plants were felt in locations where cultivation area was relatively low. This high-resolution evidence of ethanol impacts on local agricultural outcomes can inform researchers and policy-makers concerned with crop diversity, environmental sustainability, and rural economic development. KW - Agriculture: Aggregate Supply and Demand Analysis; Prices Q11 KW - Land Ownership and Tenure; Land Reform; Land Use; Irrigation; Agriculture and Environment Q15 KW - Agricultural R&D; Agricultural Technology; Biofuels; Agricultural Extension Services Q16 KW - Alternative Energy Sources Q42 KW - Other Spatial Production and Pricing Analysis R32 L3 - http://ajae.oxfordjournals.org/content/by/year UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1570774&site=ehost-live&scope=site UR - http://ajae.oxfordjournals.org/content/by/year DP - EBSCOhost DB - ecn ER - TY - JOUR AU - MOTAMED, MESBAH AU - MCPHAIL, LIHONG AU - WILLIAMS, RYAN T1 - CORNAREARESPONSE TO LOCAL ETHANOLMARKETS IN THEUNITED STATES: AGRIDCELL LEVELANALYSIS. JO - American Journal of Agricultural Economics JF - American Journal of Agricultural Economics Y1 - 2016/04// VL - 98 IS - 3 M3 - Article SP - 726 EP - 743 SN - 00029092 AB - We measure corn and total agricultural area response to the biofuels boom in the United States from 2006 to 2010. Specifically, we use newly available micro-scale grid cell data to test whether a location's corn and total agricultural cultivation rose in response to the capacity of ethanol refineries in their vicinity. Based on these data, acreage in corn and overall agriculture not only grew in already-cultivated areas but also expanded into previously uncultivated areas. Acreage in corn and total agriculture also correlated with proximity to ethanol plants, though the relationship dampened over the time period. A formal estimation of the link between acreage and ethanol refineries, however, must account for the endogenous location decisions of ethanol plants and areas of corn supply. We present historical evidence to support the use of the US railroad network as a valid instrument for ethanol plant locations. Our estimates show that a location's neighborhood refining capacity exerts strong and significant effects on acreage planted in corn and total agricultural acreage. The largest impacts of ethanol plants were felt in locations where cultivation area was relatively low. This high-resolution evidence of ethanol impacts on local agricultural outcomes can inform researchers and policy-makers concerned with crop diversity, environmental sustainability, and rural economic development. [ABSTRACT FROM AUTHOR] AB - Copyright of American Journal of Agricultural Economics is the property of Oxford University Press / USA and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ETHANOL fuel industry KW - RAILROADS KW - ECONOMIC development KW - UNITED States KW - SUSTAINABILITY KW - BIOMASS energy KW - CROP diversification KW - agricultural land use KW - biofuels KW - corn acreage KW - ethanol refineries KW - grid cell data N1 - Accession Number: 114851136; MOTAMED, MESBAH 1; Email Address: mmotamed@ers.usda.gov; MCPHAIL, LIHONG 2; WILLIAMS, RYAN 3; Affiliations: 1: Research Agricultural Economist at the Economic Research Service of the United States Department of Agriculture; 2: Economist at the Commodity Futures Trading Commission; 3: Economic Research Service of the United States Department of Agriculture; Issue Info: Apr2016, Vol. 98 Issue 3, p726; Thesaurus Term: ETHANOL fuel industry; Thesaurus Term: RAILROADS; Thesaurus Term: ECONOMIC development; Subject Term: UNITED States; Subject Term: SUSTAINABILITY; Subject Term: BIOMASS energy; Subject Term: CROP diversification; Author-Supplied Keyword: agricultural land use; Author-Supplied Keyword: biofuels; Author-Supplied Keyword: corn acreage; Author-Supplied Keyword: ethanol refineries; Author-Supplied Keyword: grid cell data; NAICS/Industry Codes: 221117 Biomass Electric Power Generation; NAICS/Industry Codes: 221119 Other electric power generation; NAICS/Industry Codes: 325193 Ethyl Alcohol Manufacturing; NAICS/Industry Codes: 325190 Other basic organic chemical manufacturing; Number of Pages: 18p; Illustrations: 9 Charts, 4 Graphs, 3 Maps; Document Type: Article L3 - 10.1093/ajae/aav095 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=114851136&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Ryznar, Margaret1 AU - Sensenbrenner, Frank2 AU - Jacobs Jr., Michael3 T1 - Implementing Dodd-Frank Act Stress Testing. JO - DePaul Business & Commercial Law Journal JF - DePaul Business & Commercial Law Journal J1 - DePaul Business & Commercial Law Journal PY - 2016///Spring2016 Y1 - 2016///Spring2016 VL - 14 IS - 3 CP - 3 M3 - Article SP - 323 EP - 356 SN - 15422763 AB - In recent years, the question of how to prevent another crippling recession has become a prominent one. The answer provided by the Dodd-Frank Act is stress testing, which examines through economic models how banks would react to a bad turn of economic events, such as negative interest rates. The first of its kind in the legal literature, this Article offers a model for stress testing that banks should use in complying with Dodd-Frank. Specifically, this Article finds that the Bayesian model that takes into account past outcomes, namely the Federal Reserve's previous stress test scenarios, is the most accurate model in stress testing. [ABSTRACT FROM AUTHOR] KW - Economic models KW - Bayesian analysis KW - Financial stress KW - Board of Governors of the Federal Reserve System (U.S.) KW - United States. Dodd-Frank Wall Street Reform & Consumer Protection Act N1 - Accession Number: 121432374; Authors:Ryznar, Margaret 1; Sensenbrenner, Frank 2; Jacobs Jr., Michael 3; Affiliations: 1: Associate Professor, Indiana University McKinney School of Law; 2: Risk Analyst, U.S. Commodity Futures Trading Commission; PhD in Finance, University of Sydney; 3: Principal Director, Accenture Consulting. PhD in Finance, Graduate School and University Center of the City University of New York; Subject: United States. Dodd-Frank Wall Street Reform & Consumer Protection Act; Subject: Economic models; Subject: Bayesian analysis; Subject: Financial stress; Subject: Board of Governors of the Federal Reserve System (U.S.); Number of Pages: 34p; Statute:Dodd-Frank Act; Jurisdiction:United States; Record Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=lft&AN=121432374&site=ehost-live&scope=site DP - EBSCOhost DB - lft ER - TY - JOUR AU - Fishe, Raymond P. H. AU - Robe, Michel A. AU - Smith, Aaron D. T1 - Foreign Central Bank Activities in US Futures Markets. JO - Journal of Futures Markets JF - Journal of Futures Markets Y1 - 2016/01// VL - 36 IS - 1 M3 - Article SP - 3 EP - 29 SN - 02707314 AB - We analyze the daily positions of 31 foreign Central Banks in US interest rate futures markets between 2003 and 2011 for targeted hedging or informed profit-making decisions. Central Bank positions before the financial crisis of 2007-2009 are consistent with hedging some underlying balance sheet exposure. During and after the crisis, the pattern suggests an attempt to enhance returns. In particular, Central Banks held and profited from directional positions in 5- and 10-year T-Note futures in a manner indicative of a non-hedging strategy. We also examine whether Central Bank position changes are synchronized in the sense that they tend to occur simultaneously. We identify differences before and after the onset of the financial crisis: Euro-linked Central Banks become more synchronized, whereas non-European Central Banks show no significant change during the crisis. We document that Central Bank positions generally account for a small fraction of the overall size of the futures markets, so it is unlikely that these institutions' goal is to influence US interest rates. © 2014 Wiley Periodicals, Inc. Jrl Fut Mark 36:3-29, 2016 [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Futures Markets is the property of John Wiley & Sons, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CENTRAL banking industry KW - FUTURES market KW - MARKETING KW - FINANCIAL crises KW - DATA analysis KW - UNITED States N1 - Accession Number: 111330611; Fishe, Raymond P. H. 1; Robe, Michel A. 2; Smith, Aaron D. 3; Affiliations: 1: US Commodity Futures Trading Commission (CFTC) and Department of Finance, Robins School of Business, University of Richmond; 2: CFTC and Department of Finance, Kogod School of Business, American University; 3: Department of Agricultural and Resource Economics, University of California at Davis; Issue Info: Jan2016, Vol. 36 Issue 1, p3; Thesaurus Term: CENTRAL banking industry; Thesaurus Term: FUTURES market; Thesaurus Term: MARKETING; Thesaurus Term: FINANCIAL crises; Thesaurus Term: DATA analysis; Subject Term: UNITED States; NAICS/Industry Codes: 521110 Monetary Authorities-Central Bank; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 27p; Document Type: Article L3 - 10.1002/fut.21705 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=111330611&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Giancarlo, J. Christopher T1 - AMERICAN PROSPERITY REQUIRES CAPITAL FREEDOM. JO - CATO Journal JF - CATO Journal Y1 - 2015///Fall2015 VL - 35 IS - 3 M3 - Article SP - 669 EP - 681 PB - Cato Institute SN - 02733072 AB - The article discusses the importance of capital freedom and competitive markets in determining American prosperity. Topics include the state of the American economy and its recovery from recessions, director of the International Monetary Fund, Christine Lagarde's opinion on global economic conditions and the draining of Liquidity from U.S. Financial Markets. KW - CAPITAL KW - LIQUIDITY (Economics) KW - SECURITIES markets KW - RECESSIONS KW - UNITED States -- Economic conditions KW - UNITED States KW - ECONOMIC aspects KW - LAGARDE, Christine, 1956- N1 - Accession Number: 110227000; Giancarlo, J. Christopher 1; Affiliation: 1: Commissioner, Commodity Futures Trading Commission (CFTC); Source Info: Fall2015, Vol. 35 Issue 3, p669; Subject Term: CAPITAL; Subject Term: LIQUIDITY (Economics); Subject Term: SECURITIES markets; Subject Term: RECESSIONS; Subject Term: UNITED States -- Economic conditions; Subject Term: UNITED States; Subject Term: ECONOMIC aspects; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522321 Central credit unions; People: LAGARDE, Christine, 1956-; Number of Pages: 13p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=110227000&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Wetjen, Mark T1 - A Regulatory Upgrade for Electronic Trading. JO - Wall Street Journal - Eastern Edition JF - Wall Street Journal - Eastern Edition Y1 - 2015/07/08/ VL - 266 IS - 6 M3 - Article SP - A9 EP - A9 SN - 00999660 AB - The article discusses issues related to financial regulations for electronic trading in the aftermath of the financial crisis and cause of liquidity changes in financial markets. KW - SECURITIES markets KW - ELECTRONIC trading of securities KW - GLOBAL Financial Crisis, 2008-2009 N1 - Accession Number: 103677650; Wetjen, Mark 1; Affiliation: 1: Commissioner, U.S. Commodity Futures Trading Commission; Source Info: 7/8/2015, Vol. 266 Issue 6, pA9; Subject Term: SECURITIES markets; Subject Term: ELECTRONIC trading of securities; Subject Term: GLOBAL Financial Crisis, 2008-2009; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 1/6p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=103677650&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Celik, Levent AU - Onur, Esen T1 - DETERMINATION OF ODDS IN PREDICTION MARKETS:COEXISTENCE OF POSTED-OFFER AND DOUBLE-AUCTION DESIGNS. JO - Journal of Prediction Markets JF - Journal of Prediction Markets Y1 - 2015/01// VL - 9 IS - 1 M3 - Article SP - 68 EP - 86 SN - 17506751 AB - This paper studies the coexistence of two competing mechanisms in the same market, where one follows the posted-offer rule and the other one incorporates a double-auction mechanism. We explore this coexistence within a sports betting example in which bettors are free to choose between a bookie (posted-offer market) and a betting exchange. Our findings imply that i) bettors' risk aversion parameter is instrumental in whether these two mechanisms coexist or not, ii) most bettors are strictly better off, and none is worse off, when they have access to both of these competing mechanisms rather than just one, and iii) these results hold even when we allow the bookie to make a positive profit instead of following a zero expected profit pricing rule. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Prediction Markets is the property of University of Buckingham Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - AUCTIONS KW - RISK aversion KW - PROFITABILITY KW - SPORTS betting KW - PREDICTION models KW - double-auction KW - posted-offer KW - Prediction markets N1 - Accession Number: 117540853; Celik, Levent 1; Email Address: lcelik@hse.ru; Onur, Esen 2; Affiliations: 1: National Research University, Higher School of Economics Moscow, Russia; 2: Office of the Chief Economist, Commodity Futures Trading Commission, Washington DC, USA; Issue Info: 2015, Vol. 9 Issue 1, p68; Thesaurus Term: AUCTIONS; Thesaurus Term: RISK aversion; Thesaurus Term: PROFITABILITY; Subject Term: SPORTS betting; Subject Term: PREDICTION models; Author-Supplied Keyword: double-auction; Author-Supplied Keyword: posted-offer; Author-Supplied Keyword: Prediction markets; Number of Pages: 19p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=117540853&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Giancarlo, J. Christopher T1 - Now Federal Job-Killers Are Coming After Derivatives. JO - Wall Street Journal - Eastern Edition JF - Wall Street Journal - Eastern Edition Y1 - 2014/11/20/ VL - 264 IS - 121 M3 - Opinion SP - A17 EP - A17 SN - 00999660 AB - The author argues that the U.S. Commodity Futures Trading Commission's (CFTC's) imposition of additional rules on trading activity involving swaps and other derivatives between non-U.S. businesses poses a serious threat to jobs in America's financial services industry. KW - DERIVATIVE securities -- Government policy KW - EMPLOYMENT (Economic theory) KW - UNITED States KW - UNITED States. Commodity Futures Trading Commission N1 - Accession Number: 99537194; Giancarlo, J. Christopher 1; Affiliation: 1: Commissioner, U.S. Commodity Futures Trading Commission.; Source Info: 11/20/2014, Vol. 264 Issue 121, pA17; Subject Term: DERIVATIVE securities -- Government policy; Subject Term: EMPLOYMENT (Economic theory); Subject Term: UNITED States; Company/Entity: UNITED States. Commodity Futures Trading Commission; Number of Pages: 1/3p; Document Type: Opinion UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=99537194&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Wetjen, Mark T1 - Bringing Commodities Regulation to Bitcoin. JO - Wall Street Journal - Eastern Edition JF - Wall Street Journal - Eastern Edition Y1 - 2014/11/04/ VL - 264 IS - 107 M3 - Opinion SP - A13 EP - A13 SN - 00999660 AB - The author, a U.S. Commodity Futures Trading Commission (CFTC) member, looks at virtual currencies such as Bitcoin, noting that Bitcoin-based derivatives are beginning to be traded and expressing the view that Bitcoin's potential benefits can best be realized within a framework of regulation. KW - BITCOIN KW - DERIVATIVE securities KW - FINANCIAL services industry -- Law & legislation KW - UNITED States N1 - Accession Number: 99208401; Wetjen, Mark 1; Affiliation: 1: Commissioner, Commodity Futures Trading Commission; Source Info: 11/4/2014, Vol. 264 Issue 107, pA13; Subject Term: BITCOIN; Subject Term: DERIVATIVE securities; Subject Term: FINANCIAL services industry -- Law & legislation; Subject Term: UNITED States; Number of Pages: 1/3p; Document Type: Opinion UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=99208401&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Brunetti, Celso AU - Reiffen, David AD - Federal Reserve Board AD - US Commodity Futures Trading Commission T1 - Commodity Index Trading and Hedging Costs JO - Journal of Financial Markets JF - Journal of Financial Markets Y1 - 2014/11// VL - 21 SP - 153 EP - 180 SN - 13864181 N1 - Accession Number: 1473700; Keywords: Financial Market; Publication Type: Journal Article; Update Code: 201501 N2 - Trading by commodity index traders (CITs) has become an important aspect of financial markets over the past 10 years. We develop an equilibrium model of trader behavior that relates uninformed CIT trading to futures prices. A key implication of the model is that CIT trading reduces the cost of hedging. We test the model using a unique non-public dataset that allows us to precisely identify trader positions. We find evidence, consistent with the model, that index traders have become an important supply of price risk insurance. KW - Contingent Pricing; Futures Pricing; option pricing G13 L3 - http://www.sciencedirect.com/science/journal/13864181 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1473700&site=ehost-live&scope=site UR - http://dx.doi.org/10.1016/j.finmar.2014.08.001 UR - http://www.sciencedirect.com/science/journal/13864181 DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Scopino, Gregory1,2 T1 - Regulating Fairness: The Dodd-Frank Act's Fair Dealing Requirement for Swap Dealers and Major Swap Participants. JO - Nebraska Law Review JF - Nebraska Law Review J1 - Nebraska Law Review PY - 2014/08// Y1 - 2014/08// VL - 93 IS - 1 CP - 1 M3 - Article SP - 31 EP - 88 SN - 00479209 AB - The article focuses on the provisions of the U.S Dodd-Frank Wall Street Reform and Consumer Protection Act that requires swap dealers to act based on principles of good faith and fair dealing. Topics discussed include the fair dealing rule of the U.S Commodity Futures Trading Commission that prohibit improper sales documented in a report, Section 205 of the Restatement (Second) of Contracts and National Futures Association's guidance for misleading communications in promotional material. KW - Swaps (Finance) KW - Fair use (Copyright) KW - Good faith (Law) -- United States KW - United States. Commodity Futures Trading Commission KW - National Futures Association (Organization) KW - United States. Dodd-Frank Wall Street Reform & Consumer Protection Act N1 - Accession Number: 98513065; Authors:Scopino, Gregory 1,2; Affiliations: 1: Adjunct Professor of Law, Cornell Law School; 2: Special Counsel, Division of Swap Dealer and Intermediary Oversight, U.S. Commodity Futures Trading Commission ("CFTC"); Subject: United States. Dodd-Frank Wall Street Reform & Consumer Protection Act; Subject: Swaps (Finance); Subject: Fair use (Copyright); Subject: Good faith (Law) -- United States; Subject: United States. Commodity Futures Trading Commission; Subject: National Futures Association (Organization); Number of Pages: 58p; Statute:Dodd-Frank Wall Street Reform and Consumer Protection Act; Jurisdiction:United States; Record Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=lft&AN=98513065&site=ehost-live&scope=site DP - EBSCOhost DB - lft ER - TY - JOUR AU - Büyükşahin, Bahattin AU - Robe, Michel A. T1 - Speculators, commodities and cross-market linkages. JO - Journal of International Money & Finance JF - Journal of International Money & Finance Y1 - 2014/04// VL - 42 M3 - Article SP - 38 EP - 70 SN - 02615606 AB - Abstract: We use a unique, non-public dataset of trader positions in 17 U.S. commodity futures markets to provide novel evidence on those markets' financialization in the past decade. We then show that the correlation between the rates of return on investible commodity and equity indices rises amid greater participation by speculators generally, hedge funds especially, and hedge funds that hold positions in both equity and commodity futures markets in particular. We find no such relationship for commodity swap dealers, including index traders (CITs). The predictive power of hedge fund positions is weaker in periods of generalized financial market stress. Our results support the notion that who trades helps predict the joint distribution of commodity and equity returns. We find qualitatively similar but statistically weaker results using a proxy for hedge fund activity based on publicly available data. [Copyright &y& Elsevier] AB - Copyright of Journal of International Money & Finance is the property of Elsevier Science and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - SPECULATORS KW - COMMERCIAL products KW - SECURITIES markets KW - HEDGE funds KW - DISTRIBUTION (Economic theory) KW - FUTURES market KW - FINANCIALIZATION KW - UNITED States KW - Commodities KW - Commodity index traders KW - Cross-market linkages KW - Dynamic conditional correlations (DCCs) KW - Equities KW - Financialization KW - Hedge funds KW - Index funds N1 - Accession Number: 94574567; Büyükşahin, Bahattin 1; Email Address: bbuyuksahin@bank-banque-canada.ca; Robe, Michel A. 2; Email Address: mrobe@american.edu; Affiliations: 1: Bank of Canada, 234 Wellington Street, Ottawa, Ontario K1A 0G9, Canada; 2: U.S. Commodity Futures Trading Commission (CFTC), Department of Finance, Kogod School of Business at American University, 4400 Massachusetts Avenue NW, Washington, DC 20016, USA; Issue Info: Apr2014, Vol. 42, p38; Thesaurus Term: SPECULATORS; Thesaurus Term: COMMERCIAL products; Thesaurus Term: SECURITIES markets; Thesaurus Term: HEDGE funds; Thesaurus Term: DISTRIBUTION (Economic theory); Thesaurus Term: FUTURES market; Thesaurus Term: FINANCIALIZATION; Subject: UNITED States; Author-Supplied Keyword: Commodities; Author-Supplied Keyword: Commodity index traders; Author-Supplied Keyword: Cross-market linkages; Author-Supplied Keyword: Dynamic conditional correlations (DCCs); Author-Supplied Keyword: Equities; Author-Supplied Keyword: Financialization; Author-Supplied Keyword: Hedge funds; Author-Supplied Keyword: Index funds; NAICS/Industry Codes: 523130 Commodity Contracts Dealing; NAICS/Industry Codes: 523140 Commodity Contracts Brokerage; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 525910 Open-End Investment Funds; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 33p; Document Type: Article L3 - 10.1016/j.jimonfin.2013.08.004 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=94574567&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Buyuksahin, Bahattin AU - Robe, Michel A. AD - Bank of Canada AD - US Commodity Futures Trading Commission and American U T1 - Speculators, Commodities and Cross-Market Linkages JO - Journal of International Money and Finance JF - Journal of International Money and Finance Y1 - 2014/04// VL - 42 SP - 38 EP - 70 SN - 02615606 N1 - Accession Number: 1436235; Keywords: Commodities; Commodity Futures; Financial Market; Futures Market; Hedge Fund; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 201405 N2 - We use a unique, non-public dataset of trader positions in 17 U.S. commodity futures markets to provide novel evidence on those markets' financialization in the past decade. We then show that the correlation between the rates of return on investible commodity and equity indices rises amid greater participation by speculators generally, hedge funds especially, and hedge funds that hold positions in both equity and commodity futures markets in particular. We find no such relationship for commodity swap dealers, including index traders (CITs). The predictive power of hedge fund positions is weaker in periods of generalized financial market stress. Our results support the notion that who trades helps predict the joint distribution of commodity and equity returns. We find qualitatively similar but statistically weaker results using a proxy for hedge fund activity based on publicly available data. KW - Contingent Pricing; Futures Pricing; option pricing G13 KW - Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors G23 L3 - http://www.sciencedirect.com/science/journal/02615606 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1436235&site=ehost-live&scope=site UR - http://dx.doi.org/10.1016/j.jimonfin.2013.08.004 UR - http://www.sciencedirect.com/science/journal/02615606 DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Fishe, Raymond P. H. AU - Janzen, Joseph P. AU - Smith, Aaron T1 - Hedging and Speculative Trading in Agricultural Futures Markets. JO - American Journal of Agricultural Economics JF - American Journal of Agricultural Economics Y1 - 2014/03// VL - 96 IS - 2 M3 - Article SP - 542 EP - 556 PB - Oxford University Press / USA SN - 00029092 AB - Regulators and industry participants have expressed concern that excessive speculation harms agricultural futures markets. Such harm may arise if speculators cause prices to systematically differ from the price sequence that would arise in markets populated by equally informed traders with rational expectations (RE). We show theoretically that, when traders exhibit differences of opinion (DO) about the expected value of the commodity, futures prices may diverge from the RE equilibrium. Moreover, we develop a testable prediction, namely that positions held by different trader groups are correlated with prices in a DO equilibrium but not correlated in a RE equilibrium. We find strong empirical support for the DO-type environment; changes in positions held by managed money traders are positively correlated with prices, and changes in positions held by producers are negatively correlated. In the context of our DO model, this finding implies that prices change by more on average than producers think they should and by less than managed money thinks they should. However, the evidence suggests that neither group is systematically more prescient than the other. [ABSTRACT FROM AUTHOR] AB - Copyright of American Journal of Agricultural Economics is the property of Oxford University Press / USA and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FUTURES market KW - AGRICULTURAL industries KW - AGRICULTURAL prices KW - RATIONAL expectations (Economic theory) KW - EQUILIBRIUM (Economics) KW - UNITED States N1 - Accession Number: 95094381; Fishe, Raymond P. H. 1; Janzen, Joseph P. 1; Smith, Aaron 1; Affiliations: 1: Raymond P. H. Fishe is a Consultant for the Commodity Futures Trading Commission (CFTC) and the Patricia A. and George W. Wellde, Jr. Distinguished Professor of Finance in the Department of Finance at the University of Richmond. Joseph P. Janzen is an assistant professor in the Department of Agricultural Economics and Economics at Montana State University. Aaron Smith is an associate professor in the Department of Agricultural and Resource Economics at the University of California–Davis.; Issue Info: Mar2014, Vol. 96 Issue 2, p542; Thesaurus Term: FUTURES market; Thesaurus Term: AGRICULTURAL industries; Thesaurus Term: AGRICULTURAL prices; Thesaurus Term: RATIONAL expectations (Economic theory); Thesaurus Term: EQUILIBRIUM (Economics); Subject Term: UNITED States; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 15p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=95094381&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - CHAP AU - Cohen-Cole, Ethan AU - Kirilenko, Andrei AU - Patacchini, Eleonora AD - U MD AD - Commodity Futures Trading Commission, Washington, DC AD - U Rome 'La Sapienza' A2 - Fouque, Jean-Pierre A2 - Langsam, Joseph A. T1 - Strategic Interactions on Financial Networks for the Analysis of Systemic Risk T2 - Handbook on Systemic Risk PB - Cambridge and New York: Cambridge University Press Y1 - 2013/// SP - 306 EP - 326 N1 - Accession Number: 1597946; Reviewed Book ISBN: 978-1-107-02343-7; Keywords: Network; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Collective Volume Article; Update Code: 201610 KW - Network Formation and Analysis: Theory D85 KW - Behavioral Finance: Underlying Principles G02 KW - General Financial Markets: General (includes Measurement and Data) G10 KW - Portfolio Choice; Investment Decisions G11 KW - Economic Sociology; Economic Anthropology; Social and Economic Stratification Z13 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1597946&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Boyd, Naomi E. AU - Kurov, Alexander T1 - Trader Survival: Evidence from the Energy Futures Markets. JO - Journal of Futures Markets JF - Journal of Futures Markets Y1 - 2012/09// VL - 32 IS - 9 M3 - Article SP - 809 EP - 836 SN - 02707314 AB - This study analyzes the adaptation of traders and the determinants of trader survival during a period of changing market structures. Our unique sample of transactions level data covers the introduction of electronic trading in the NYMEX energy futures market. The results show that most floor traders adapted to the side-by-side electronic and open outcry trading, although trader attrition increased and the profitability of surviving traders declined dramatically. It is also found that trading profits, trader experience and sophistication, and dual trading have a positive effect on the probability of trader survival. Scalpers are less likely to exit trading in pure open outcry trading, but are more likely to fail than traders who hold open positions longer in side-by-side trading. Finally, traders trading in multiple energy futures markets and those who use both the exchange floor and electronic trading appear to have a survival advantage in side-by-side trading. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark 32:809-836, 2012 [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Futures Markets is the property of John Wiley & Sons, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - ENERGY futures KW - MARKETS KW - INDUSTRIAL organization (Economic theory) KW - ELECTRONIC trading of securities KW - TRADING rooms (Finance) KW - PROFIT KW - NEW York Mercantile Exchange (New York, N.Y.) N1 - Accession Number: 77755051; Boyd, Naomi E. 1; Kurov, Alexander 2; Affiliations: 1: Naomi Boyd is an Assistant Professor of Finance at the Department of Finance, West Virginia University, Morgantown, West Virginia. She is also a Consultant, Office of the Chief Economist, Commodity Futures Trading Commission (CFTC), Washington, DC.; 2: Alexander Kurov is an Associate Professor of Finance at the Department of Finance, West Virginia University, Morgantown, West Virginia.; Issue Info: Sep2012, Vol. 32 Issue 9, p809; Thesaurus Term: ENERGY futures; Thesaurus Term: MARKETS; Thesaurus Term: INDUSTRIAL organization (Economic theory); Thesaurus Term: ELECTRONIC trading of securities; Thesaurus Term: TRADING rooms (Finance); Thesaurus Term: PROFIT ; Company/Entity: NEW York Mercantile Exchange (New York, N.Y.); Number of Pages: 28p; Document Type: Article L3 - 10.1002/fut.20543 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=77755051&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Stawick, David T1 - Margin Requirements for Uncleared Swaps for Swap Dealers and Major Swap Participants. JO - Federal Register (National Archives & Records Service, Office of the Federal Register) JF - Federal Register (National Archives & Records Service, Office of the Federal Register) Y1 - 2012/07/12/ VL - 77 IS - 134 M3 - Article SP - 41109 EP - 41110 SN - 00976326 AB - The article presents information that the U.S. Commodity Futures Trading Commission (CFTC) is extending the period of public comments for its rulemaking proposal related to the establishment of an initial and variation margin requirements for uncleared swaps for the swap dealers, market makers, and the major swap participants. The CFTC is soliciting public comments by September 14, 2012 via electronic mail or in writing. KW - PUBLIC opinion KW - SWAPS (Finance) KW - MARKET makers KW - EMAIL KW - UNITED States. Commodity Futures Trading Commission N1 - Accession Number: 78039910; Stawick, David 1; Affiliations: 1: Secretary of the Commission, Commodity Futures Trading Commission.; Issue Info: 7/12/2012, Vol. 77 Issue 134, p41109; Thesaurus Term: PUBLIC opinion; Thesaurus Term: SWAPS (Finance); Thesaurus Term: MARKET makers; Thesaurus Term: EMAIL ; Company/Entity: UNITED States. Commodity Futures Trading Commission; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 2p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=78039910&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - O'Malia, Scott D. AD - US Commodity Futures Trading Commission T1 - Implementing the Dodd-Frank Act: Progress to Date and Recommendations for the Future JO - Federal Reserve Bank of Chicago Economic Perspectives JF - Federal Reserve Bank of Chicago Economic Perspectives Y1 - 2012///3rd Quarter VL - 36 IS - 3 SP - 113 EP - 116 SN - 01640682 N1 - Accession Number: 1476547; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 201502 N2 - It's easy to focus on how much is changing because of the Dodd-Frank Act. The CFTC and the other federal financial regulators are writing rules at a frenetic pace, and the market is already positioning itself to deal with the changes to come. There's no doubt that much is changing and that a lot of good will come of this. KW - General Financial Markets: Government Policy and Regulation G18 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Financial Institutions and Services: Government Policy and Regulation G28 KW - Economics of Regulation L51 L3 - https://www.chicagofed.org/publications/publication-listing?filter_series=10 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1476547&site=ehost-live&scope=site UR - https://www.chicagofed.org/publications/publication-listing?filter_series=10 DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Stawick, David A. T1 - Agency Information Collection Activities; Notice of Intent To Renew Collection: Rules Relating To Review of National Futures Association Decisions in Disciplinary, Membership Denial, Registration, and Member Responsibility Actions. JO - Federal Register (National Archives & Records Service, Office of the Federal Register) JF - Federal Register (National Archives & Records Service, Office of the Federal Register) Y1 - 2012/06//6/1/2012 VL - 77 IS - 106 M3 - Article SP - 32593 EP - 32594 SN - 00976326 AB - The article reports that the U.S. Commodity Futures Trading Commission is seeking clearance from the U.S. Office of Management and Budget regarding public comments on proposed information collection in accordance with the Paperwork Reduction Act of 1995. It states that the notice is issued to check the performance of the agency, enhance quality, utility and clarity of information, and minimize burden of information collection on respondents and the use of automated collection techniques. KW - OFFICE practice -- Automation KW - GOVERNMENT paperwork KW - AUTOMATIC data collection systems KW - PUBLIC opinion KW - ACQUISITION of data KW - DATA quality KW - UNITED States KW - UNITED States. Commodity Futures Trading Commission KW - UNITED States. Office of Management & Budget N1 - Accession Number: 76436242; Stawick, David A. 1; Affiliations: 1: Secretary of the Commission, Commodity Futures Trading Commission.; Issue Info: 6/1/2012, Vol. 77 Issue 106, p32593; Thesaurus Term: OFFICE practice -- Automation; Thesaurus Term: GOVERNMENT paperwork; Thesaurus Term: AUTOMATIC data collection systems; Thesaurus Term: PUBLIC opinion; Subject Term: ACQUISITION of data; Subject Term: DATA quality; Subject: UNITED States ; Company/Entity: UNITED States. Commodity Futures Trading Commission ; Company/Entity: UNITED States. Office of Management & Budget; NAICS/Industry Codes: 541512 Computer Systems Design Services; NAICS/Industry Codes: 541514 Computer systems design and related services (except video game design and development); NAICS/Industry Codes: 926110 Administration of General Economic Programs; Number of Pages: 2p; Illustrations: 1 Chart; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=76436242&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Babula, Ronald A. AU - Price, Gregory K. T1 - New regulatory authority over significant price discovery contracts: An example of natural gas swaps with econometric applications JO - Journal of Policy Modeling JF - Journal of Policy Modeling Y1 - 2012/05// VL - 34 IS - 3 M3 - Article SP - 372 EP - 388 SN - 01618938 AB - Abstract: This study details the U.S. Commodity Futures Trading Commission''s significant price discovery regulatory authority over exempt, over-the-counter contracts, as introduced in 2008. A vector autoregressive model is used to conclude that three cash-settled natural gas contracts traded on the IntercontinentalExchange are significant price discovery contracts (SPDCs). Thus, this study demonstrates the methods’ use in analyzing the new financial policy authority and other similar and evolving policies. The paper also discusses some of the policy implications of the SPDC determinations. Lastly, the authors address the transition of the Commission''s SPDC authority as a result of the passage of the Dodd–Frank Wall Street Reform and Consumer Protection Act, which was signed into law in July 2010. [Copyright &y& Elsevier] AB - Copyright of Journal of Policy Modeling is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - GOVERNMENT agencies KW - NATURAL gas KW - ECONOMETRICS KW - CONTRACTS KW - ECONOMIC policy KW - CONSUMER protection KW - UNITED States KW - Exempt commercial markets KW - G18 KW - Natural gas KW - Significant price discovery contracts KW - Time series methods KW - Vector autoregression KW - UNITED States. Commodity Futures Trading Commission N1 - Accession Number: 74498207; Babula, Ronald A.; Email Address: rbabula@cftc.gov Price, Gregory K. 1; Affiliation: 1: Commodity Futures Trading Commission, Division of Market Oversight, 1155 21 St NW, Washington, DC 20581, USA; Source Info: May2012, Vol. 34 Issue 3, p372; Subject Term: GOVERNMENT agencies; Subject Term: NATURAL gas; Subject Term: ECONOMETRICS; Subject Term: CONTRACTS; Subject Term: ECONOMIC policy; Subject Term: CONSUMER protection; Subject Term: UNITED States; Author-Supplied Keyword: Exempt commercial markets; Author-Supplied Keyword: G18; Author-Supplied Keyword: Natural gas; Author-Supplied Keyword: Significant price discovery contracts; Author-Supplied Keyword: Time series methods; Author-Supplied Keyword: Vector autoregression; Company/Entity: UNITED States. Commodity Futures Trading Commission; NAICS/Industry Codes: 911910 Other federal government public administration; NAICS/Industry Codes: 912910 Other provincial and territorial public administration; NAICS/Industry Codes: 913910 Other local, municipal and regional public administration; NAICS/Industry Codes: 921190 Other General Government Support; NAICS/Industry Codes: 926110 Administration of General Economic Programs; NAICS/Industry Codes: 922190 Other Justice, Public Order, and Safety Activities; NAICS/Industry Codes: 486210 Pipeline Transportation of Natural Gas; NAICS/Industry Codes: 221210 Natural Gas Distribution; Number of Pages: 17p; Document Type: Article L3 - 10.1016/j.jpolmod.2011.12.004 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=74498207&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Ajmera, Richa1, ajmera.richa@bls.gov AU - Kook, Nancy1, kook.nancy@bls.gov AU - Crilley, Jeff2, jcrilley@cftc.gov T1 - Impact of commodity price movements on CPI inflation. JO - Monthly Labor Review JF - Monthly Labor Review J1 - Monthly Labor Review PY - 2012/04// Y1 - 2012/04// VL - 135 IS - 4 CP - 4 M3 - Article SP - 29 EP - 43 SN - 00981818 AB - An analysis of price movements of four commodities -- crops, animal slaughter and processing, dairy, and oil and gas -- reveals that only oil and gas prices had a considerable impact on CPI inflation; thus, even large increases in the prices of the first three of these commodities do not necessarily contribute substantially to inflation [ABSTRACT FROM AUTHOR] KW - Prices KW - Crops KW - Animal waste KW - Dairy farms KW - Inflation (Finance) KW - Petroleum products -- Sales & prices N1 - Accession Number: 76116368; Authors:Ajmera, Richa 1 Email Address: ajmera.richa@bls.gov; Kook, Nancy 1 Email Address: kook.nancy@bls.gov; Crilley, Jeff 2 Email Address: jcrilley@cftc.gov; Affiliations: 1: Economists in the Office of Prices and Living Conditions, Bureau of Labor Statistics; 2: Industry economist with the U.S. Commodity Futures Trading Commission; Subject: Prices; Subject: Crops; Subject: Animal waste; Subject: Dairy farms; Subject: Inflation (Finance); Subject: Petroleum products -- Sales & prices; Number of Pages: 15p; Illustrations: 5 Charts, 4 Graphs; Record Type: Article; Full Text Word Count: 9063 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=eft&AN=76116368&site=ehost-live&scope=site DP - EBSCOhost DB - eft ER - TY - JOUR AU - Stawick, David A. AU - Murphy, Elizabeth M. T1 - Identity Theft Red Flags Rules. JO - Federal Register (National Archives & Records Service, Office of the Federal Register) JF - Federal Register (National Archives & Records Service, Office of the Federal Register) Y1 - 2012/03/06/ VL - 77 IS - 44 M3 - Article SP - 13450 EP - 13478 SN - 00976326 AB - The article reports on a proposed rule issued by the U.S. Commodity Futures Trading Commission and the U.S. Securities and Exchange Commission regarding issuance of rules and guidelines related to provisions of the Dodd-Frank Wall Street Reform and Consumer Protection Act. CFTC and SEC are seeking public comments on this proposed rule by May 7, 2012 via electronic mail or in writings. The proposed rule will help financial institutions and creditors to develop theft prevention programs. KW - FINANCIAL institutions KW - DEBTOR & creditor KW - THEFT KW - PREVENTION KW - UNITED States KW - UNITED States. Commodity Futures Trading Commission KW - UNITED States. Securities & Exchange Commission KW - UNITED States. Dodd-Frank Wall Street Reform & Consumer Protection Act N1 - Accession Number: 73461555; Stawick, David A. 1; Murphy, Elizabeth M. 2; Affiliations: 1: Secretary of the Commodity Futures Trading Commission.; 2: Secretary of the Securities and Exchange Commission.; Issue Info: 3/6/2012, Vol. 77 Issue 44, p13450; Thesaurus Term: FINANCIAL institutions; Thesaurus Term: DEBTOR & creditor; Thesaurus Term: THEFT; Subject Term: PREVENTION; Subject: UNITED States ; Company/Entity: UNITED States. Commodity Futures Trading Commission ; Company/Entity: UNITED States. Securities & Exchange Commission; Reviews & Products: UNITED States. Dodd-Frank Wall Street Reform & Consumer Protection Act; NAICS/Industry Codes: 926150 Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors; Number of Pages: 29p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=73461555&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Babula, Ronald A. AU - Rothenberg, John Paul AD - Commodity Futures Trading Commission, Washington, DC AD - Commodity Futures Trading Commission, Washington, DC T1 - A Dynamic Monthly Model of U.S. Pork Product Markets: Testing for and Discerning the Role of Hedging on Pork-Related Food Costs JO - Journal of International Agricultural Trade and Development JF - Journal of International Agricultural Trade and Development Y1 - 2012/// VL - 8 IS - 1 SP - 1 EP - 23 SN - 15568520 N1 - Accession Number: 1485294; Keywords: Food; Futures Market; Hedging; Prices; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 201503 N2 - This paper extends prior econometric research and applies cointegrated VAR (CVAR) modeling methods to estimate a monthly system of U.S. upstream/downstream pork-based food product markets, while incorporating an empirical link to a relevant pork futures market. The study uses the CVAR to develop hypotheses that, if accepted, suggest the existence of hedging activity; tests such hypotheses that the data statistically accepts; imposes the hedging-suggesting restrictions into the estimated model; and then shows how the final cointegrated parameters illuminate the role and policy implications of hedging in the workings and dynamic interactions of the modeled pork product markets. Analysis of all cointegrated parameters suggests how hedging can act as a cushion on the effects of sharp upstream episodes of market volatility on U.S. downstream pork-related food cost patterns. As well, results suggest that because U.S. demand for upstream product markets is a function of relative own/futures price, financial policies working through futures price are as effective policy levers as commodity-focused policies working through upstream commodity prices in influencing the modeled markets and managing related pork-based food cost patterns. KW - Contingent Pricing; Futures Pricing; option pricing G13 KW - Production, Pricing, and Market Structure; Size Distribution of Firms L11 KW - Food; Beverages; Cosmetics; Tobacco; Wine and Spirits L66 KW - Agricultural Markets and Marketing; Cooperatives; Agribusiness Q13 KW - Agricultural Finance Q14 L3 - https://www.novapublishers.com/catalog/product_info.php?products_id=1670 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1485294&site=ehost-live&scope=site UR - https://www.novapublishers.com/catalog/product_info.php?products_id=1670 DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Babula, Ronald A. AU - Zhang, Daowei AU - Rothenberg, John Paul AD - Keimyung U AD - Auburn U AD - US Commodity Futures Trading Commission T1 - A Dynamic Monthly Demand Model of U.S.-Produced Softwood Lumber with a Futures Market Linkage JO - Journal of International Agricultural Trade and Development JF - Journal of International Agricultural Trade and Development Y1 - 2012/// VL - 8 IS - 2 SP - 149 EP - 164 SN - 15568520 N1 - Accession Number: 1485302; Keywords: Futures Market; Lumber; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 201503 N2 - In this paper we estimate a dynamic demand model of U.S. produced softwood lumber using a cointegrated vector autoregression model. We find that demand for U.S.-produced lumber responds to prices of softwood lumber, housing starts, and lumber prices in the futures market, and that various trade measures against Canadian softwood lumber imports have boosted this demand. These results suggest that U.S. lumber producers and consumers could use price information from futures markets to manage price risks and adjust their production/consumption activities and that U.S. producers' political actions have paid huge dividends. KW - Contingent Pricing; Futures Pricing; option pricing G13 KW - Forest Products L73 KW - Industry Studies: Primary Products and Construction: Government Policy L78 L3 - https://www.novapublishers.com/catalog/product_info.php?products_id=1670 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1485302&site=ehost-live&scope=site UR - https://www.novapublishers.com/catalog/product_info.php?products_id=1670 DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Walter, Elisse B. T1 - The SEC and the Municipal Securities Market. JO - Municipal Finance Journal JF - Municipal Finance Journal Y1 - 2012///Winter2012 VL - 32 IS - 4 M3 - Article SP - 1 EP - 6 SN - 01996134 AB - Last year, Commissioner Walter was tapped by SEC Chairman Mary Shapiro to lead a series of field hearings to examine the municipal market, including topics such as disclosure and transparency, financial reporting and accounting, and investor protection and education. To date, the SEC has held two hearings, and when all are completed, the SEC staff will prepare a report on the findings, with recommendations for further action, which could include legislation, rulemaking, or changes in industry practice. In this article, Commissioner Walter gives her perspective on the field hearings and other important issues related to the municipal securities market. [ABSTRACT FROM AUTHOR] AB - Copyright of Municipal Finance Journal is the property of Civic Research Institute and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DISCLOSURE KW - FINANCIAL disclosure KW - FINANCIAL statements KW - ACCOUNTING KW - UNITED States KW - UNITED States. Securities & Exchange Commission KW - SHAPIRO, Mary N1 - Accession Number: 79921772; Walter, Elisse B. 1,2,3; Affiliations: 1: Senior Executive Vice President, Regulatory Policy & Programs, National Association of Securities Dealers (NASD); 2: General Counsel, Commodity Futures Trading Commission; 3: Deputy director, Division of Corporation Finance, SEC; Issue Info: Winter2012, Vol. 32 Issue 4, p1; Thesaurus Term: DISCLOSURE; Thesaurus Term: FINANCIAL disclosure; Thesaurus Term: FINANCIAL statements; Thesaurus Term: ACCOUNTING; Subject: UNITED States ; Company/Entity: UNITED States. Securities & Exchange Commission; NAICS/Industry Codes: 541219 Other Accounting Services; NAICS/Industry Codes: 926150 Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors; People: SHAPIRO, Mary; Number of Pages: 6p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=79921772&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Yu, Wusheng AU - Babula, Ronald A. T1 - The EU Market for apparel exports, China's cotton imports, and the end of the ATC. JO - Acta Agriculturae Scandinavica: Section C, Food Economics JF - Acta Agriculturae Scandinavica: Section C, Food Economics Y1 - 2011/12// VL - 8 IS - 4 M3 - Article SP - 208 EP - 221 SN - 1651288X AB - The expiration of the WTO Agreement on Textiles and Clothing (ATC) in January 2005 coincided with surges of China's apparel exports and apparent increases in China's cotton imports, the former of which has led to trade conflicts between China and its main trading partners, and the latter of which has seemingly prompted China to relax its restrictions on cotton imports. Using monthly trade data, this study employs a vector autoregression model to investigate the interlinkages between China's and its competitors’ apparel exports to the EU and between China's apparel exports and its cotton imports. Our analysis shows that (1) there appears to be a downward-sloping and elastic demand curve for China's apparel products by the EU; (2) China's and its competitors’ apparel exports to the EU are imperfect substitutes and the “crowding out” effects of Chinese apparel exports seem to be modest in the EU market; (3) the interrelationship between China's apparel exports and its demand for imported cotton is found to be statistically significant. However, increased apparel exports from China induce proportionally larger increases in its cotton imports. In particular, the end of the ATC is shown to boost China's apparel exports by nearly 16%. This increase “magnifies” China's demand for imported cotton by 75%. This discrepancy is possibly due to the relaxation of China's import restrictions on cotton following the end of the ATC which led to the extra boost in China's cotton imports. [ABSTRACT FROM PUBLISHER] AB - Copyright of Acta Agriculturae Scandinavica: Section C, Food Economics is the property of Routledge and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CLOTHING & dress KW - COTTON -- Export & import trade KW - CLOTHING industry KW - EXPORTS KW - IMPORTS KW - EXPORT & import trade KW - CHINA KW - China KW - cotton KW - European Union KW - international trade KW - Textile and clothing N1 - Accession Number: 75274392; Yu, Wusheng 1; Email Address: wusheng@foi.dk Babula, Ronald A. 2; Affiliation: 1: Institute of Food and Resource Economics, University of Copenhagen, Copenhagen, Denmark 2: US Commodity Futures Trading Commission, Washington, DC, 20581, USA; Source Info: Dec2011, Vol. 8 Issue 4, p208; Subject Term: CLOTHING & dress; Subject Term: COTTON -- Export & import trade; Subject Term: CLOTHING industry; Subject Term: EXPORTS; Subject Term: IMPORTS; Subject Term: EXPORT & import trade; Subject Term: CHINA; Author-Supplied Keyword: China; Author-Supplied Keyword: cotton; Author-Supplied Keyword: European Union; Author-Supplied Keyword: international trade; Author-Supplied Keyword: Textile and clothing; NAICS/Industry Codes: 448190 Other Clothing Stores; NAICS/Industry Codes: 448140 Family Clothing Stores; NAICS/Industry Codes: 414110 Clothing and clothing accessories merchant wholesalers; NAICS/Industry Codes: 315210 Cut and Sew Apparel Contractors; NAICS/Industry Codes: 448199 All other clothing stores; NAICS/Industry Codes: 315190 Other Apparel Knitting Mills; NAICS/Industry Codes: 111920 Cotton Farming; NAICS/Industry Codes: 424590 Other Farm Product Raw Material Merchant Wholesalers; NAICS/Industry Codes: 115113 Crop Harvesting, Primarily by Machine; Number of Pages: 14p; Document Type: Article L3 - 10.1080/16507541.2011.687151 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=75274392&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Banwo, Adedayo T1 - Reverse Mergers and Takeovers. JO - International Law News JF - International Law News Y1 - 2011///Fall2011 VL - 40 IS - 4 M3 - Article SP - 21 EP - 23 SN - 00470813 AB - This article discusses several issues in the context of reserve mergers or reverse takeovers (RTOs). It has been stated that number of RTOs has significantly increased in recent years as wealthy investors increased investments in emerging markets. It has been stated that RTOs is considered as a way for a company to go public without formally undertaking an initial public offering and so it offers companies decreased regulatory and transactional costs. KW - CONSOLIDATION & merger of corporations KW - CAPITALISTS & financiers KW - GOING public (Securities) KW - BUSINESS enterprises KW - TRANSACTION costs N1 - Accession Number: 70365185; Banwo, Adedayo 1; Email Address: ABanwo@CFTC.gov; Affiliation: 1: Vice-chair of the Section's Task Force on Financial Engineering for Economic Development and serves as counsel with the Commodity Futures Trading Commission in Washington, D.C.; Source Info: Fall2011, Vol. 40 Issue 4, p21; Subject Term: CONSOLIDATION & merger of corporations; Subject Term: CAPITALISTS & financiers; Subject Term: GOING public (Securities); Subject Term: BUSINESS enterprises; Subject Term: TRANSACTION costs; Number of Pages: 3p; Document Type: Article; Full Text Word Count: 1919 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=70365185&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Irwin, Scott H. AU - Garcia, Philip AU - Good, Darrel L. AU - Kunda, Eugene L. AD - U IL AD - U IL AD - U IL AD - US Commodity Futures Trading Commission, Chicago, IL T1 - Spreads and Non-convergence in Chicago Board of Trade Corn, Soybean, and Wheat Futures: Are Index Funds to Blame? JO - Applied Economic Perspectives and Policy JF - Applied Economic Perspectives and Policy Y1 - 2011///Spring VL - 33 IS - 1 SP - 116 EP - 142 SN - 20405790 N1 - Accession Number: 1160752; Keywords: Corn; Futures Market; Prices; Soybean; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 201104 N2 - This paper evaluates the role that index funds have played in recent convergence problems of Chicago Board of Trade corn, soybean, and wheat futures contracts. These new market participants are widely considered to have inflated futures prices and/or expanded spreads between futures prices. Large spreads in futures markets contribute to a lack of convergence by uncoupling cash and futures markets. Statistical tests provide no evidence that rolling of positions by index funds or the initiation of large index positions in a "crowded market space" have contributed to an expansion of the spreads. KW - Contingent Pricing; Futures Pricing; option pricing G13 KW - Agriculture: Aggregate Supply and Demand Analysis; Prices Q11 L3 - http://aepp.oxfordjournals.org/ UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1160752&site=ehost-live&scope=site UR - http://aepp.oxfordjournals.org/ DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Reiffen, David AU - Robe, Michel AD - US Commodity Futures Trading Commission AD - American U T1 - Demutualization and Customer Protection at Self-Regulatory Financial Exchanges JO - Journal of Futures Markets JF - Journal of Futures Markets Y1 - 2011/02// VL - 31 IS - 2 SP - 126 EP - 164 SN - 02707314 N1 - Accession Number: 1148721; Keywords: Protection; Regulation; Publication Type: Journal Article; Update Code: 201101 N2 - In the past decade, many of the world's largest financial exchanges have demutualized, i.e., converted from mutual, not-for-profit organizations to publicly-traded, for-profit firms. In most cases, these exchanges have substantial responsibilities with respect to enforcing various "trade practice" regulations that protect investors from dishonest agents. We examine how the incentives to enforce such rules change as an exchange demutualizes. In contrast to oft-stated concerns, we find that, in many circumstances, an exchange that maximizes shareholder (rather than member) income has a greater incentive to aggressively enforce these types of regulations. KW - Consumer Protection D18 KW - General Financial Markets: Government Policy and Regulation G18 L3 - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1148721&site=ehost-live&scope=site UR - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Babula, Ronald A. AD - US Commodity Futures Trading Commission T1 - Using Cointegrated VAR Modeling to Comparatively and Empirically Assess Effects of Alternatively-Focused Policies on U.S. Soft Wheat Markets JO - Journal of International Agricultural Trade and Development JF - Journal of International Agricultural Trade and Development Y1 - 2011/// VL - 7 IS - 2 SP - 109 EP - 130 SN - 15568520 N1 - Accession Number: 1302578; Keywords: Econometrics; Food; Modeling; VAR; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 201206 N2 - After establishing the importance to policy formation and analysis of U.S. wheat product markets, the paper extends prior research on quarterly U.S. all-wheat product markets by applying, for the first time, cointegrated VAR modeling to a monthly system of U.S. soft wheat markets that includes a soft wheat futures market linkage. The study then uses the estimated upstream/downstream U.S. soft wheat market product model to comparatively and empirically assess the effectiveness of two sets of policies/events in influencing and managing the markets through price: selected commodity-focused farm/trade policies/events vs. those focused on financial and futures markets. First time empirical econometric assessments are generated that demonstrate that the policies/events with a commodity focus are more than doubly effective than financial/futures policies/events in influencing and managing the modeled soft wheat-based markets, and any patterns of wheat-based food price inflation that should arise. Results provide the first empirical estimates of how financial/futures market events/policies have real, statistically strong effects on the modeled soft wheat-based markets. Policy insights for the modeled soft wheat markets are also provided concerning trade agreements and trade remedies such as TRQs and dumping/countervailing duty orders. KW - Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes C32 KW - Model Evaluation, Validation, and Selection C52 KW - Food; Beverages; Cosmetics; Tobacco; Wine and Spirits L66 KW - Agricultural Markets and Marketing; Cooperatives; Agribusiness Q13 KW - Agricultural Policy; Food Policy Q18 L3 - https://www.novapublishers.com/catalog/product_info.php?products_id=1670 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1302578&site=ehost-live&scope=site UR - https://www.novapublishers.com/catalog/product_info.php?products_id=1670 DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Reiffen, David AU - Buyuksahin, Bahattin AD - US Commodity Futures Trading Commission AD - Unlisted T1 - The Puzzle of Privately-Imposed Price Limits: Are the Limits Imposed by Financial Exchanges Effective? JO - Aestimatio: The IEB International Journal of Finance JF - Aestimatio: The IEB International Journal of Finance Y1 - 2010/12// IS - 1 SP - 110 EP - 142 SN - 21730164 N1 - Accession Number: 1312762; Keywords: Commodity Futures; Futures Market; Options; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 201208 N2 - Some of the world's largest futures exchanges impose daily limits on the price movements of individual contracts. Using data from three of the most active US commodity futures contracts, we show that these price restrictions are largely ineffective because traders are able to take similar positions using other contracts. When price limits become binding on the futures market, the associated (but unrestricted) options market becomes the price discovery market: much of the trading that would have occurred on the futures market migrates to the options market, and options prices accurately predict the (unconstrained) futures price the next day. We also show that the presence of options mitigates the effect of price limits on information revelation by documenting that futures markets reflect more accurate information on days following limit hits when the associated options were trading on the previous day. Overall, our evidence suggests that price limits in US futures markets have little effect on prices when options markets exist. KW - Contingent Pricing; Futures Pricing; option pricing G13 KW - General Financial Markets: Government Policy and Regulation G18 L3 - http://www.ieb.es/secc.aspx?idsec=1348 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1312762&site=ehost-live&scope=site UR - http://www.ieb.es/secc.aspx?idsec=1348 DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Jackson, Thomas AU - Skeel, David AU - Gensler, Gary T1 - The Derivatives Debate. JO - Wall Street Journal - Eastern Edition JF - Wall Street Journal - Eastern Edition Y1 - 2010/04/21/ VL - 255 IS - 92 M3 - Opinion SP - A21 SN - 00999660 AB - The article offers views on how derivative securities should be treated in the financial-regulation reform bill of U.S. Senator Chris Dodd. Professors Thomas Jackson and David Skeel suggest trading of derivatives on public exchanges, creating a clearinghouse to assess credit-worthiness of both parties and removing special treatment during bankruptcy that led to bailouts. Commodity Futures Trading Commission chairman Gary Gensler adds that it should address the interconnection between financial institutions and regulate derivatives as commodity futures. KW - DERIVATIVE securities -- Law & legislation KW - REGULATORY reform KW - FINANCIAL services industry -- Law & legislation KW - CLEARINGHOUSES (Banking) KW - BANKRUPTCY KW - BAILOUTS (Finance) KW - UNITED States KW - DODD, Christopher J. (Christopher John), 1944- N1 - Accession Number: 49754101; Jackson, Thomas 1 Skeel, David 2 Gensler, Gary 3; Affiliation: 1: Professor, University of Rochester 2: Professor, University of Pennsylvania law school 3: Chairman, U.S. Commodity Futures Trading Commission; Source Info: 4/21/2010, Vol. 255 Issue 92, pA21; Subject Term: DERIVATIVE securities -- Law & legislation; Subject Term: REGULATORY reform; Subject Term: FINANCIAL services industry -- Law & legislation; Subject Term: CLEARINGHOUSES (Banking); Subject Term: BANKRUPTCY; Subject Term: BAILOUTS (Finance); Subject Term: UNITED States; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 522329 Other financial transactions processing and clearing house activities; NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 523990 All other financial investment activities; People: DODD, Christopher J. (Christopher John), 1944-; Number of Pages: 0p; Illustrations: 1 Cartoon or Caricature; Document Type: Opinion UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=49754101&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Gensler, Gary T1 - Bring Building Codes to OTC Markets in Derivatives. JO - Securities Industry News JF - Securities Industry News Y1 - 2010/03/22/ VL - 22 IS - 6 M3 - Article SP - 23 EP - 23 PB - SourceMedia, Inc. SN - 10896333 AB - The article discusses a proposed comprehensive regulatory framework for over-the -counter (OTC) derivatives. It describes how certain financial institutions dealing with unregulated derivatives nearly collapsed. The need to achieve both real-time post-trade transparency and benefits of some pre-trade transparencies in OTC derivatives is stressed. The proposed reforms include regulation of derivatives dealers, trading of standard OTC derivatives on exchanges and other trading platforms and open membership-clearing houses. KW - OVER-the-counter markets KW - FINANCIAL institutions KW - TRANSPARENCY in organizations KW - CLEARINGHOUSES (Banking) KW - DERIVATIVE securities N1 - Accession Number: 49036941; Gensler, Gary 1; Affiliations: 1: Chairman, Commodity Futures Trading Commission; Issue Info: 3/22/2010, Vol. 22 Issue 6, p23; Thesaurus Term: OVER-the-counter markets; Thesaurus Term: FINANCIAL institutions; Thesaurus Term: TRANSPARENCY in organizations; Thesaurus Term: CLEARINGHOUSES (Banking); Thesaurus Term: DERIVATIVE securities; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 522329 Other financial transactions processing and clearing house activities; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 523990 All other financial investment activities; NAICS/Industry Codes: 522291 Consumer Lending; Number of Pages: 1p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=49036941&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - BOYD, NAOMI E. AU - MERCER, JEFFREY M. T1 - Gains from Active Bond Portfolio Management Strategies. JO - Journal of Fixed Income JF - Journal of Fixed Income Y1 - 2010///Spring2010 VL - 19 IS - 4 M3 - Article SP - 73 EP - 83 PB - Euromoney Institutional Investor PLC SN - 10598596 AB - The belief that excess returns can be achieved by correctly timing changes in yields and/or yield spreads motivates active bond portfolio management strategies. Given the rich literature linking yield spread patterns to both the business cycle and changes in short-term interest rates, the authors motivate and demonstrate the efficacy of simple spread-trading strategies tied to both. Using 34 years of fixed income returns, they demonstrate that straightforward rules would have led to superior risk-adjusted performance relative to standard fixed-income benchmarks. Furthermore, the strategies tied to short-maturity interest rates are based on the use of past information only. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Fixed Income is the property of Euromoney Institutional Investor PLC and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - RATE of return KW - BONDS (Finance) KW - PORTFOLIO management (Investments) KW - INTEREST rates KW - FIXED incomes N1 - Accession Number: 49315942; BOYD, NAOMI E. 1; Email Address: naomi.boyd@mail.wvu.edu; MERCER, JEFFREY M. 2; Email Address: jeffrey.mercer@ttu.edu; Affiliations: 1: Assistant professor, department of finance, West Virginia University, Morgantown, WV consultant, Office of Chief Economist, Commodity Futures Trading Commission, Washington, DC; 2: Lubbock Bankers' Association Professor of Finance in the Rawls College of Business, Texas Tech University, Lubbock, TX; Issue Info: Spring2010, Vol. 19 Issue 4, p73; Thesaurus Term: RATE of return; Thesaurus Term: BONDS (Finance); Thesaurus Term: PORTFOLIO management (Investments); Thesaurus Term: INTEREST rates; Thesaurus Term: FIXED incomes; NAICS/Industry Codes: 523920 Portfolio Management; Number of Pages: 11p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=49315942&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Babula, Ronaid A. AU - Song Soo Lim T1 - Dynamic U.S. Food-Related Inflation Relationships: A Cointegrated VAR Model Analysis. JO - Journal of Food Distribution Research JF - Journal of Food Distribution Research Y1 - 2010/03// VL - 41 IS - 1 M3 - Article SP - 5 EP - 13 SN - 0047245X AB - The authors propose a monthly cointegrated vector autoregression (VAR) model of five U.S. variables including the producer price index (PPI) for all items, PPI for crude petroleum, agricultural chemicals, farm products and processed foods. One aim of the proposal is to address the need for updated and policy-relevant research on influence of macro shocks on food-related prices. It details the methods for choosing and imposing reduced rank on the error correction space. The U.S. transmission of macro influences on U.S. food-related prices is discussed. KW - PRICE indexes KW - FOOD prices KW - AUTOREGRESSION (Statistics) KW - PETROLEUM KW - AGRICULTURAL chemicals KW - PROCESSED foods KW - UNITED States N1 - Accession Number: 51229053; Babula, Ronaid A. 1; Song Soo Lim 2; Affiliations: 1: Economist, Division of Market Oversight, U.S. Commodity Futures Trading Commission, Washington, D.C.; 2: Associate Professor, Department of Food and Resource Economics, Korea University, Seoul; Issue Info: Mar2010, Vol. 41 Issue 1, p5; Thesaurus Term: PRICE indexes; Thesaurus Term: FOOD prices; Subject Term: AUTOREGRESSION (Statistics); Subject Term: PETROLEUM; Subject Term: AGRICULTURAL chemicals; Subject Term: PROCESSED foods; Subject: UNITED States; NAICS/Industry Codes: 424910 Farm Supplies Merchant Wholesalers; NAICS/Industry Codes: 418390 Agricultural chemical and other farm supplies merchant wholesalers; NAICS/Industry Codes: 325320 Pesticide and Other Agricultural Chemical Manufacturing; NAICS/Industry Codes: 211111 Crude Petroleum and Natural Gas Extraction; NAICS/Industry Codes: 424720 Petroleum and Petroleum Products Merchant Wholesalers (except Bulk Stations and Terminals); NAICS/Industry Codes: 424710 Petroleum Bulk Stations and Terminals; NAICS/Industry Codes: 486110 Pipeline Transportation of Crude Oil; NAICS/Industry Codes: 412110 Petroleum and petroleum products merchant wholesalers; Number of Pages: 9p; Illustrations: 3 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=51229053&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Fang Zhao AU - Moser, Jim T1 - Use of Derivatives and Bank Holding Companies' Interest-Rate Risk. JO - Banking & Finance Review JF - Banking & Finance Review Y1 - 2009/12// VL - 1 IS - 1 M3 - Article SP - 51 EP - 62 SN - 19477945 AB - This study finds that bank holding companies reduced stock return sensitivity to interest-rate changes during the 1998-2003 sampling period using a combination of on- and off-balance sheet methods. Employing controls for balance sheet composition and asset size, the extent to which derivatives lessen interest-rate risk exposure is explored. The evidence from this study indicates that bank holding companies separate their efforts to control exposure to interest-rate risk, using gap-management approaches to control exposure to changes in short-term rates and using interest-rate derivatives to control residual rate exposures such as those from changes in the slope of the term structure. The results of this study are consistent with Diamond's (1984) insight that banks using interest-rate derivatives can make better use of diversification to lessen their overall risk levels. [ABSTRACT FROM AUTHOR] AB - Copyright of Banking & Finance Review is the property of Banking & Finance Review and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - DERIVATIVE securities KW - BANK holding companies KW - INTEREST rate risk KW - FINANCIAL statements KW - ASSETS (Accounting) KW - FINANCIAL institutions KW - BANK loans KW - MARKET value KW - INTERMEDIATION (Finance) KW - Banking KW - Derivative Instruments KW - Interest-Rate Risk KW - Intermediation N1 - Accession Number: 47222897; Fang Zhao 1; Email Address: fzhao@siena.edu; Moser, Jim 2; Affiliations: 1: Siena College, USA; 2: Commodity Futures Trading Commission, USA; Issue Info: Dec2009, Vol. 1 Issue 1, p51; Thesaurus Term: DERIVATIVE securities; Thesaurus Term: BANK holding companies; Thesaurus Term: INTEREST rate risk; Thesaurus Term: FINANCIAL statements; Thesaurus Term: ASSETS (Accounting); Thesaurus Term: FINANCIAL institutions; Thesaurus Term: BANK loans; Thesaurus Term: MARKET value; Thesaurus Term: INTERMEDIATION (Finance); Author-Supplied Keyword: Banking; Author-Supplied Keyword: Derivative Instruments; Author-Supplied Keyword: Interest-Rate Risk; Author-Supplied Keyword: Intermediation; NAICS/Industry Codes: 551111 Offices of Bank Holding Companies; NAICS/Industry Codes: 551113 Holding companies; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 522298 All Other Nondepository Credit Intermediation; NAICS/Industry Codes: 522299 All other non-depository credit intermediation; NAICS/Industry Codes: 522390 Other Activities Related to Credit Intermediation; NAICS/Industry Codes: 523910 Miscellaneous Intermediation; Number of Pages: 12p; Illustrations: 4 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=47222897&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Zhao, Fang AU - Moser, Jim AD - Siena College AD - US Commodity Futures Trading Commission T1 - Use of Derivatives and Bank Holding Companies' Interest-Rate Risk JO - Banking and Finance Review JF - Banking and Finance Review Y1 - 2009/12// VL - 1 IS - 1 SP - 51 EP - 62 SN - 19477945 N1 - Accession Number: 1106058; Keywords: Bank; Derivatives; Holding Companies; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 201006 N2 - The primary finding of this study is that the use of derivatives by bank holding companies reduces the stock return sensitivity to interest-rate changes during the 1998-2003 sampling period, controlling for balance sheet composition and asset size. In this study, the extent to which derivatives lessen interest-rate risk exposure is explored. The evidence from this study indicates that managers of bank holding companies' interest-rate risk separate their efforts to control exposure to interest-rate risk, using gap-management approaches to control exposure to changes in short-term rates and using interest-rate derivatives to control residual rate exposures such as those from changes in the slope of the term structure. This evidence suggests that interest-rate derivatives increase bank holding companies' ability to manage exposure to changes in interest rates during the sample period (1998-2003). The results of this study are consistent with Diamond's (1984) insight that banks using interest-rate derivatives can make better use of diversification to lessen their overall risk levels. KW - Contingent Pricing; Futures Pricing; option pricing G13 KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 KW - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill G32 L3 - http://www.bankingandfinancereview.com/bfr/index.php/bfr/issue/archive UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1106058&site=ehost-live&scope=site UR - http://www.bankingandfinancereview.com/bfr/index.php/bfr/issue/archive DP - EBSCOhost DB - ecn ER - TY - JOUR AU - BüyükŞahin, Bahattin AU - Haigh, Michael S. AU - Robe, Michel A. T1 - Commodities and Equities: Ever a "Market of One"? JO - Journal of Alternative Investments JF - Journal of Alternative Investments Y1 - 2009///Winter2010 VL - 12 IS - 3 M3 - Article SP - 76 EP - 95 PB - Euromoney Institutional Investor PLC SN - 15203255 AB - Amid the rise in commodity investing that started in 2003, many have asked whether commodities now move more in sync with traditional financial assets. Using daily, weekly and monthly data over 18 years, this article provides evidence largely to the contrary. First, dynamic conditional correlation and recursive co-integration techniques are applied to the prices of, and the returns on, key investable commodity and U.S. equity indices. Compared to the 1991-2002 period, both short- and long-term relationships between passive commodity and equity investments are generally weaker after 2003. Even though the correlations between equity and commodity returns increased sharply in the fall of 2008, during a time of extraordinary economic and financial turbulence, they remained lower than their peaks in the previous decade. Second, the co-movements between equity and commodity returns in periods of extreme returns are analyzed. There is little evidence of a secular increase in spillovers from equity to commodity markets during extreme events. Overall, the results suggest that while commodities provide substantial diversification benefits to passive equity investors, those benefits are weaker precisely when they are needed most. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Alternative Investments is the property of Euromoney Institutional Investor PLC and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - COMMERCIAL products KW - STOCKS (Finance) KW - INVESTMENTS KW - STOCK price indexes KW - RATE of return KW - UNITED States N1 - Accession Number: 47798193; BüyükŞahin, Bahattin 1; Email Address: bbuyuksahin@eftc.gov; Haigh, Michael S. 2; Email Address: mhaigh@k2advisors.com; Robe, Michel A. 3; Email Address: mrobe@american.edu; Affiliations: 1: Economist, U.S. Commodity Futures Trading Commission, Washington, D.C.; 2: Managing Director, K2 Advisors, Stamford, CT; 3: Associate Professor of finance, Kogod School of Business, American University; Issue Info: Winter2010, Vol. 12 Issue 3, p76; Thesaurus Term: COMMERCIAL products; Thesaurus Term: STOCKS (Finance); Thesaurus Term: INVESTMENTS; Thesaurus Term: STOCK price indexes; Thesaurus Term: RATE of return; Subject: UNITED States; NAICS/Industry Codes: 523140 Commodity Contracts Brokerage; NAICS/Industry Codes: 523130 Commodity Contracts Dealing; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; Number of Pages: 20p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=47798193&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kofman, Paul AU - Michayluk, David AU - Moser, James T. T1 - Reversing the lead, or a series of unfortunate events? NYMEX, ICE, and Amaranth. JO - Journal of Futures Markets JF - Journal of Futures Markets Y1 - 2009/12// VL - 29 IS - 12 M3 - Article SP - 1130 EP - 1160 SN - 02707314 AB - A number of studies compare the efficiency and transparency of floor trading with automated/electronic trading systems in the competition for order flow. Although most of these studies find that electronic systems lead price discovery, a few studies highlight the weaknesses of electronic trading in highly volatile market conditions. A series of unusual events in 2006, sparking extreme volatility in natural gas futures trading, provide an ideal setting to revisit the resilience of trading system price leadership in the face of high volatility. We estimate time-varying Hasbrouck-style information shares to investigate the intertemporal and cross-sectional dynamics in price discovery. The results strongly suggest that the information share is time-dependent and contract-dependent. Floor trading dominates price discovery in the less liquid longer-maturity contracts, whereas electronic trading dominates price discovery in the most liquid spot-month contract. We find that the floor trading information share increases significantly with realized volatility. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:1130–1160, 2009 [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Futures Markets is the property of John Wiley & Sons, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FLOOR traders (Finance) KW - ELECTRONIC trading of securities KW - SECURITIES markets KW - STOCKS (Finance) -- Prices KW - VOLATILITY (Finance) KW - MARKETING KW - ORDER flow (Securities) KW - NATURAL gas N1 - Accession Number: 44540821; Kofman, Paul 1; Michayluk, David 2; Moser, James T. 3; Affiliations: 1: Department of Finance, The University of Melbourne, Parkville, Victoria, Australia; 2: School of Finance and Economics, University of Technology, Sydney, Broadway, New South Wales, Australia; 3: Office of the Chief Economist, U.S. Commodity Futures Trading Commission, Washington, District of Columbia; Issue Info: Dec2009, Vol. 29 Issue 12, p1130; Thesaurus Term: FLOOR traders (Finance); Thesaurus Term: ELECTRONIC trading of securities; Thesaurus Term: SECURITIES markets; Thesaurus Term: STOCKS (Finance) -- Prices; Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: MARKETING; Thesaurus Term: ORDER flow (Securities); Subject Term: NATURAL gas; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523120 Securities Brokerage; NAICS/Industry Codes: 221210 Natural Gas Distribution; NAICS/Industry Codes: 486210 Pipeline Transportation of Natural Gas; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 31p; Illustrations: 5 Charts, 8 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=44540821&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - UNPB AU - Harris, Jeffrey H. AU - Panchapagesan, Venkatesh AU - Werner, Ingrid AD - US Commodity Futures Trading Commission and U of Delaware AD - GSAM AD - Ohio State U T1 - Off but Not Gone: A Study of Nasdaq Delistings PB - Ohio State University, Charles A. Dice Center for Research in Financial Economics, Working Paper Series Y1 - 2008/// AV - Availability Note: Information provided in collaboration with the RePEc Project: http://repec.org N1 - Accession Number: 1005704; Publication Type: Working Paper; Update Code: 200812 N2 - We examine 1,098 Nasdaq firms delisted in 1999-2002 that subsequently traded in the OTC Bulletin Board and/or the Pink Sheets. Market quality deteriorates significantly after delisting: share volume declines by two-thirds; quoted spreads almost triple from 12.1 to 33.9 percent; and effective spreads triple from 3.3 to 9.9 percent. Volatility triples from 4.4 to 14.3 percent, but quickly reverts to slightly elevated levels. Deterioration is significantly larger for more severe violations (e.g. bankruptcy) than for lesser infractions (e.g. minimum bid price). We find the OTC Bulletin Board provides a "soft landing" for delisted firms relative to the Pink Sheets. Although the delisting process takes at least 90 days, the drop in market quality is concentrated on the delisting date, highlighting the benefits of Nasdaq listing and the economic rationale for tiered listing fees. We argue that the increased costs resulting from enforcing Nasdaq's minor (non-core) listing criteria outweigh the benefits. L3 - http://www.cob.ohio-state.edu/fin/dice/papers/2008/2008-6.pdf UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1005704&site=ehost-live&scope=site UR - http://www.cob.ohio-state.edu/fin/dice/papers/2008/2008-6.pdf DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Reiffen, David T1 - THE EFFECT OF GROUP SIZE AND ASYMMETRIES ON THE INCENTIVE TO REVEAL GROUP-SPECIFIC INFORMATION. JO - Journal of Industrial Economics JF - Journal of Industrial Economics Y1 - 2007/12// VL - 55 IS - 4 M3 - Article SP - 739 EP - 769 PB - Wiley-Blackwell SN - 00221821 AB - In this paper, I examine how firms' incentives to differentiate their products through the revelation of truthful information about product attributes varies with the distribution of consumer preferences for those attributes. I show that information will tend to be provided for large groups, even absent scale economies in producing that information. In addition, the relative sizes of the groups whose estimates of product quality change positively vs. negatively (i.e., the degree of asymmetry) by the information is likewise an important determinant of its profitability. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Industrial Economics is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - INCENTIVES in industry KW - CONSUMER goods KW - CONSUMERS' preferences KW - QUALITY of products KW - COMMERCIAL products KW - PROFITABILITY N1 - Accession Number: 27785492; Reiffen, David 1; Email Address: dreiffen@cftc.gov; Affiliations: 1: Commodity Futures Trading Commission, 1155 21st Street. NW, Washington, D.C. 20581, U.S.A.; Issue Info: Dec2007, Vol. 55 Issue 4, p739; Thesaurus Term: INCENTIVES in industry; Thesaurus Term: CONSUMER goods; Thesaurus Term: CONSUMERS' preferences; Thesaurus Term: QUALITY of products; Thesaurus Term: COMMERCIAL products; Thesaurus Term: PROFITABILITY; NAICS/Industry Codes: 523130 Commodity Contracts Dealing; NAICS/Industry Codes: 523140 Commodity Contracts Brokerage; NAICS/Industry Codes: 532299 All Other Consumer Goods Rental; Number of Pages: 31p; Illustrations: 1 Diagram, 3 Graphs; Document Type: Article L3 - 10.1111/j.1467-6451.2007.00328.x UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=27785492&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Reiffen, David AU - Ward, Michael R. T1 - ‘Branded Generics’ as a strategy to limit cannibalization of pharmaceutical markets. JO - Managerial & Decision Economics JF - Managerial & Decision Economics Y1 - 2007/06// VL - 28 IS - 4/5 M3 - Article SP - 251 EP - 265 SN - 01436570 AB - This paper demonstrates how, by introducing a generic version of its previously patented product, a branded firm can influence the equilibrium in the generic segment of the market for the product. This in turn can increase the firm's profits from selling the branded version. We then use structural estimates from previous literature to calculate the magnitude of the effects in the generic and branded segments. Copyright © 2007 John Wiley & Sons, Ltd. [ABSTRACT FROM AUTHOR] AB - Copyright of Managerial & Decision Economics is the property of John Wiley & Sons, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - BRAND name products KW - MARKETING KW - CORPORATE profits KW - CORPORATIONS -- Finance KW - PHARMACEUTICAL industry KW - GENERIC drugs KW - GENERIC products KW - GENERIC drug substitution KW - UNITED States N1 - Accession Number: 26294748; Reiffen, David 1; Ward, Michael R. 2; Affiliations: 1: US Commodity Futures Trading Commission, USA; 2: University of Texas, Arlington, USA; Issue Info: Jun2007, Vol. 28 Issue 4/5, p251; Thesaurus Term: BRAND name products; Thesaurus Term: MARKETING; Thesaurus Term: CORPORATE profits; Thesaurus Term: CORPORATIONS -- Finance; Thesaurus Term: PHARMACEUTICAL industry; Subject Term: GENERIC drugs; Subject Term: GENERIC products; Subject Term: GENERIC drug substitution; Subject: UNITED States; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 541613 Marketing Consulting Services; NAICS/Industry Codes: 424210 Drugs and Druggists' Sundries Merchant Wholesalers; NAICS/Industry Codes: 414510 Pharmaceuticals and pharmacy supplies merchant wholesalers; NAICS/Industry Codes: 325412 Pharmaceutical Preparation Manufacturing; NAICS/Industry Codes: 325410 Pharmaceutical and medicine manufacturing; Number of Pages: 15p; Illustrations: 2 Charts, 2 Graphs; Document Type: Article L3 - 10.1002/mde.1339 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=26294748&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Alevy, Jonathan E. AU - Haigh, Michael S. AU - List, John A. AD - U NV, Reno AD - US Commodity Futures Trading Commission AD - U Chicago T1 - Information Cascades: Evidence from a Field Experiment with Financial Market Professionals JO - Journal of Finance JF - Journal of Finance Y1 - 2007/02// VL - 62 IS - 1 SP - 151 EP - 180 SN - 00221082 N1 - Accession Number: 0894174; Keywords: Financial Market; Information; Signals; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 200703 N2 - Previous empirical studies of information cascades use either naturally occurring data or laboratory experiments. We combine attractive elements from each of these lines of research by observing market professionals from the Chicago Board of Trade (CBOT) in a controlled environment. Analysis of over 1,500 individual decisions suggests that CBOT professionals behave differently from our student control group. For instance, professionals are better able to discern the quality of public signals and their decisions are not affected by the domain of earnings. These results have implications for market efficiency and are important in both a positive and normative sense. KW - Search; Learning; Information and Knowledge; Communication; Belief D83 KW - Information and Market Efficiency; Event Studies; Insider Trading G14 L3 - http://onlinelibrary.wiley.com/journal/10.1111/%28ISSN%291540-6261/issues UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0894174&site=ehost-live&scope=site UR - http://onlinelibrary.wiley.com/journal/10.1111/%28ISSN%291540-6261/issues DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Hosken, Daniel AU - Reiffen, David AD - US Federal Trade Commission AD - US Commodity Futures Trading Commission T1 - Pricing Behavior of Multiproduct Retailers JO - B.E. Journal of Theoretical Economics: Topics in Theoretical Economics JF - B.E. Journal of Theoretical Economics: Topics in Theoretical Economics Y1 - 2007/// VL - 7 IS - 1 SN - 19351704 N1 - Accession Number: 0949302; Keywords: Pricing; Retailers; Publication Type: Journal Article; Update Code: 200801 N2 - This paper develops a model of competition among multiproduct retailers that is consistent with observed pricing regularities, such as the facts that virtually all products have large mass points in their price distributions and that most deviations fall below these mass points. The basis of the model is that, when consumers prefer to buy a bundle of goods from the same retailer, a given discount on any one good in the bundle will have a similar effect on consumers' likelihood of visiting that retailer. Consequently, discounts on goods sold by a retailer are substitute instruments for attracting customers, and factors that influence one goods' price will also affect other goods' prices. Hence, if intertemporal price changes are a means of price discriminating (as the literature suggests), then the impact of these changes will be reflected in the prices of many goods--including those for which discrimination is infeasible. KW - Production, Pricing, and Market Structure; Size Distribution of Firms L11 KW - Retail and Wholesale Trade; e-Commerce L81 L3 - http://www.bepress.com/bejte/topics/ UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0949302&site=ehost-live&scope=site UR - http://www.bepress.com/bejte/topics/ DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Chou, Robin K. AU - Wang, George H. K. AD - National Central U AD - Commodity Futures Trading Commission and George Mason U T1 - Transaction Tax and Market Quality of the Taiwan Stock Index Futures JO - Journal of Futures Markets JF - Journal of Futures Markets Y1 - 2006/12// VL - 26 IS - 12 SP - 1195 EP - 1216 SN - 02707314 N1 - Accession Number: 0879568; Keywords: Tax; Taxes; Geographic Descriptors: Taiwan; Geographic Region: Asia; Publication Type: Journal Article; Update Code: 200612 N2 - On May 1, 2000, the Taiwan government reduced the tax levied on futures transactions on the Taiwan Futures Exchange from 5 to 2.5 basis points. This event provides a unique opportunity to test empirically the impact of a tax rate reduction on trading volume, bid-ask spreads, and price volatility. Intraday and daily time series data from May 1, 1999, through April 30, 2001, are tested in a three-equation structural model. Findings show that transaction taxes have a negative impact on trading volume and bid-ask spreads, as trading volume increased and bid-ask spreads decreased in the period following the reduction in the transaction tax. This study's analysis is not consistent with the argument that the imposition of a transaction tax may reduce price volatility because there are no significant changes in price volatility after the tax reduction. Further, it was found that although the reduction in the transaction tax did reduce tax revenues, the proportional decrease in tax revenues is less than the 50% reduction in the tax rate. Finally, tax revenues in the second and third year after the tax reduction increased, as compared to the year before the tax reduction. KW - Contingent Pricing; Futures Pricing; option pricing G13 KW - Business Taxes and Subsidies including sales and value-added (VAT) H25 L3 - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0879568&site=ehost-live&scope=site UR - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Bryant, Henry L. AU - Bessler, David A. AU - Haigh, Michael S. T1 - Causality in futures markets. JO - Journal of Futures Markets JF - Journal of Futures Markets Y1 - 2006/11// VL - 26 IS - 11 M3 - Article SP - 1039 EP - 1057 SN - 02707314 AB - This study tests causal hypotheses emanating from theories of futures markets by utilizing methods appropriate for disproving causal relationships with observational data. The hedging pressure theory of futures markets risk premiums, the generalized version of the normal backwardation theory of Keynes, is rejected. Theories predicting that the activity levels of speculators or uninformed traders affect levels of price volatility, either positively or negatively, are also rejected. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:1039–1057, 2006 [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Futures Markets is the property of John Wiley & Sons, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FUTURES market KW - HEDGING (Finance) KW - RISK premiums KW - COMMODITY exchanges KW - RATE of return N1 - Accession Number: 22524298; Bryant, Henry L. 1; Email Address: h-bryant@tamu.edu; Bessler, David A. 2; Haigh, Michael S. 3; Affiliations: 1: Research Assistant Professor, Department of Agricultural Economics, Texas A&M University, Texas; 2: Professor, Department of Agricultural Economics, Texas A&M University, Texas; 3: Associate Chief Economist, U.S. Commodity Futures Trading Commission; Issue Info: Nov2006, Vol. 26 Issue 11, p1039; Thesaurus Term: FUTURES market; Thesaurus Term: HEDGING (Finance); Thesaurus Term: RISK premiums; Thesaurus Term: COMMODITY exchanges; Thesaurus Term: RATE of return; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 19p; Illustrations: 1 Diagram, 4 Charts; Document Type: Article L3 - 10.1002/fut.20231 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=22524298&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Pallage, Stephane AU - Robe, Michel A. AU - Berube, Catherine AD - U Quebec, Montreal AD - American U and US Commodity Futures Trading Commission AD - Unlisted T1 - The Potential of Foreign Aid as Insurance JO - IMF Staff Papers JF - IMF Staff Papers Y1 - 2006/// VL - 53 IS - 3 SP - 453 EP - 475 SN - 10207635 N1 - Accession Number: 0893483; Keywords: Aid; Developing Countries; Foreign Aid; Publication Type: Journal Article; Update Code: 200703 N2 - This paper quantifies the potential of foreign aid as an insurance mechanism against macroeconomic shocks. Within a dynamic model of aid flows between two endowment economies, we show that at least three-fourths of the large welfare costs of macroeconomic fluctuations in poor countries could be alleviated by a simple reallocation of aid flows across time. In developing countries subject to persistent macroeconomic shocks, the resulting welfare improvement is of first-order magnitude. KW - Foreign Aid F35 KW - International Linkages to Development; Role of International Organizations O19 L3 - http://www.palgrave-journals.com/imfsp/archive/index.html UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0893483&site=ehost-live&scope=site UR - http://www.palgrave-journals.com/imfsp/archive/index.html DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Ates, Aysegul AU - Wang, George H. K. AD - Akdeniz U AD - Commodity Futures Trading Commission and George Mason U T1 - Liquidity and Price Discovery on Floor versus Screen-Based Trading Systems: An Analysis of Foreign Exchange Futures Markets JO - Review of Futures Markets JF - Review of Futures Markets Y1 - 2005///Winter 2005-2006 VL - 14 IS - 3 SP - 391 EP - 419 SN - 0898011X N1 - Accession Number: 0915306; Keywords: Foreign Exchange; Futures Market; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 200706 N2 - This paper examines how electronic trading affected the price discovery and Relative liquidity in the Japanese yen, British pound, and euro foreign exchange futures markets traded on the Chicago Mercantile Exchange (CME) over time. Intraday data from January 2, 2003 through March 5, 2004 are used in our analysis. We find that liquidity, measured by bid-ask spreads, is tighter in the automated trading system before and after controlling for such variables as price volatility and trading volume. For trading that occurred during the earlier part of the sample period, that is, calendar year 2003, floor-based trading typically contributed more to price discovery in the Japanese yen and British pound markets. However, in the latter-part of the sample period, that is, calendar year 2004, screen trading took the dominant role and contributed relatively more to price discovery than floor-based trading. Automated trading dominated price discovery in the euro foreign exchange futures market during the entire 2003-2004 sample period. The results of our regression analysis support the hypothesis that relative liquidity and operational efficiency jointly influence the contribution shares in the price discovery process. KW - Foreign Exchange F31 KW - Contingent Pricing; Futures Pricing; option pricing G13 KW - International Financial Markets G15 L3 - http://www.theifm.org/index.php?inc=rfmissues.inc UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0915306&site=ehost-live&scope=site UR - http://www.theifm.org/index.php?inc=rfmissues.inc DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Ates, Aysegul AU - Wang, George H. K. AD - Akdeniz U AD - Commodity Futures Trading Commission T1 - When Contract Size Matters: The Case of Equity Index Futures JO - Review of Futures Markets JF - Review of Futures Markets Y1 - 2005///Fall VL - 14 IS - 2 SP - 217 EP - 245 SN - 0898011X N1 - Accession Number: 0859857; Keywords: Futures Market; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 200608 N2 - The Chicago Mercantile Exchange introduced E-mini S&P 500 index futures in September 1997, and E-mini Nasdaq 100 index futures in June 1999. This paper empirically examines the effects from the introduction of the E-mini futures contracts on the market quality of the original S&P 500 and Nasdaq 100 index futures markets. The analysis is performed in a structural model framework, using bid-ask spreads, trading volume, and price volatility as measurements of market quality. We also evaluate, by using trader-size distribution data and the Commodity Futures Trading Commission's "Commitments of Traders" reports, whether the introduction of E-mini contracts has achieved their intended goal of attracting smaller investors. Finally, we evaluate any differences in the types of traders who use the E-mini futures contracts versus the original equity index futures contracts. Our empirical results suggest that bid-ask spreads of the original equity index futures have been negatively affected, the trading volume has not been adversely affected and the impact on price volatility are mixed. Our empirical results also suggest that the E-mini index futures contracts have successfully attracted smaller investors. In particular, 70% of all E-mini contracts traded are in single-contract units, and 95% are in units of less than five contracts (that is, less than the dollar value of a single original equity index futures contract). Furthermore, we found that a portion of the new, smaller traders in the E-mini equity index futures markets consists of day traders. KW - Contingent Pricing; Futures Pricing; option pricing G13 L3 - http://www.theifm.org/index.php?inc=rfmissues.inc UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0859857&site=ehost-live&scope=site UR - http://www.theifm.org/index.php?inc=rfmissues.inc DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Seely, Beth AU - Van Huyck, John AU - Battalio, Raymond AD - Commodity Futures Trading Commission AD - TX A&M U AD - TX A&M U T1 - Credible Assignments Can Improve Efficiency in Laboratory Public Goods Games JO - Journal of Public Economics JF - Journal of Public Economics Y1 - 2005/08// VL - 89 IS - 8 SP - 1437 EP - 1455 SN - 00472727 N1 - Accession Number: 0808624; Keywords: Public Goods; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 200512 N2 - This paper reports an experiment investigating how assignments improve economic efficiency in a modified version of the standard voluntary-contributions mechanism. The experiment uses a non-binding message that makes common information assignments in the repeated game. A credible assignment is one actually followed by the participants. It turns out to be difficult to credibly assign the symmetric efficient outcome in four person cohorts, but we did discover one assignment that was credible in the last match of the evolutionary repeated game. KW - Altruism; Philanthropy D64 KW - Public Goods H41 L3 - http://www.sciencedirect.com/science/journal/00472727 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0808624&site=ehost-live&scope=site UR - http://dx.doi.org/10.1016/j.jpubeco.2004.02.010 UR - http://www.sciencedirect.com/science/journal/00472727 DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Seelya, Beth AU - van Huyck, John AU - Battalio, Raymond T1 - Credible assignments can improve efficiency in laboratory public goods games. JO - Journal of Public Economics JF - Journal of Public Economics Y1 - 2005/08// VL - 89 IS - 8 M3 - Article SP - 1437 EP - 1455 SN - 00472727 AB - This paper reports an experiment investigating how assignments improve economic efficiency in a modified version of the standard voluntary-contributions mechanism. The experiment uses a non- binding message that makes common information assignments in the repeated game. A credible assignment is one actually followed by the participants. It turns out to be difficult to credibly assign the symmetric efficient outcome in four person cohorts, but we did discover one assignment that was credible in the last match of the evolutionary repeated game. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Public Economics is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PUBLIC goods KW - WELFARE economics KW - PUBLIC finance KW - COMMERCE KW - ASSIGNMENTS (Law) KW - GAMES KW - Coordination failure KW - Credible assignments KW - Human behavior KW - Public goods KW - Subgame perfection N1 - Accession Number: 17657265; Seelya, Beth 1; van Huyck, John 2; Email Address: john.vanhuyck@tamu.edu; Battalio, Raymond 2; Affiliations: 1: Commodity Futures Trading Commission, United States.; 2: Department of Economics, Texas A&M University, College Station, TX 77843-4228, United States.; Issue Info: Aug2005, Vol. 89 Issue 8, p1437; Thesaurus Term: PUBLIC goods; Thesaurus Term: WELFARE economics; Thesaurus Term: PUBLIC finance; Thesaurus Term: COMMERCE; Subject Term: ASSIGNMENTS (Law); Subject Term: GAMES; Author-Supplied Keyword: Coordination failure; Author-Supplied Keyword: Credible assignments; Author-Supplied Keyword: Human behavior; Author-Supplied Keyword: Public goods; Author-Supplied Keyword: Subgame perfection; NAICS/Industry Codes: 921130 Public Finance Activities; NAICS/Industry Codes: 339930 Doll, Toy, and Game Manufacturing; NAICS/Industry Codes: 451120 Hobby, Toy, and Game Stores; NAICS/Industry Codes: 423920 Toy and Hobby Goods and Supplies Merchant Wholesalers; Number of Pages: 19p; Document Type: Article L3 - 10.1016/j.jpubeco.2004.02.010 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=17657265&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Bryant, Henry L. AU - Haigh, Michael S. T1 - Derivative pricing model and time-series approaches to hedging: A comparison. JO - Journal of Futures Markets JF - Journal of Futures Markets Y1 - 2005/07// VL - 25 IS - 7 M3 - Article SP - 613 EP - 641 SN - 02707314 AB - This research compares derivative pricing model and statistical time-series approaches to hedging. The finance literature stresses the former approach, while the applied economics literature has focused on the latter. We compare the out-of-sample hedging effectiveness of the two approaches when hedging commodity price risk using futures contracts. For various methods of parameter estimation and inference, we find that the derivative pricing models cannot out-perform a vector error-correction model with a GARCH error structure. The derivative pricing models' unpalatable assumption of deterministically evolving futures volatility seems to impede their hedging effectiveness, even when potentially foresighted optionimplied volatility term structures are employed. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:613–641, 2005 [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Futures Markets is the property of John Wiley & Sons, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PRICING KW - TIME series analysis KW - HEDGING (Finance) KW - FUTURES KW - VOLATILITY (Finance) KW - DERIVATIVE securities N1 - Accession Number: 17033011; Bryant, Henry L. 1; Haigh, Michael S. 2,3; Email Address: mhaigh@cftc.gov; Affiliations: 1: Texas A&M University in College Station, Texas; 2: Senior Financial Economist in the Office of the Chief Economist, U.S. Commodity Futures Trading Commission, Washington, DC; 3: University of Maryland in College Park, Maryland; Issue Info: Jul2005, Vol. 25 Issue 7, p613; Thesaurus Term: PRICING; Thesaurus Term: TIME series analysis; Thesaurus Term: HEDGING (Finance); Thesaurus Term: FUTURES; Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: DERIVATIVE securities; Number of Pages: 29p; Document Type: Article L3 - 10.1002/fut.20163 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=17033011&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Ates, Aysegul AU - Wang, George H. K. T1 - Information transmission in electronic versus open-outcry trading systems: An analysis of U.S. equity index futures markets. JO - Journal of Futures Markets JF - Journal of Futures Markets Y1 - 2005/07// VL - 25 IS - 7 M3 - Article SP - 679 EP - 715 SN - 02707314 AB - In this article the intraday price discovery process between regular index futures (floor trading) and E-mini index futures (electronic trading) in the S&P 500 and Nasdaq 100 index futures markets is examined, using intraday data from the introduction of the E-mini index futures to 2001. Using both information shares (Hasbrouck, J., 1995) and common long-memory factor weights (Gonzalo, J., & Granger, C. W. J., 1995) techniques, we find that both E-mini index futures and regular index futures contribute to the price discovery process. However, since September 1998, the contribution made by E-mini index futures has been greater than that provided by regular index futures. Based on regression analysis, we have also found direct empirical evidence to support the hypothesis that the joint effects of operational efficiency and relative liquidity determine the greater contribution made towards price discovery by electronic trading relative to open-outcry trading over time. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25: 679–715, 2005 [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Futures Markets is the property of John Wiley & Sons, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FUTURES market KW - FUTURES KW - STOCKS (Finance) KW - STOCK exchanges KW - PRICES KW - REGRESSION analysis N1 - Accession Number: 17033013; Ates, Aysegul 1; Wang, George H. K. 2,3; Email Address: gwang@cftc.gov; Affiliations: 1: Assistant Professor of Economics, IIBF, Akdeniz University, Dumlupinar Bulvari, Kampus, Antalya, 07070, Turkey; 2: Deputy Chief Economist, Office of the Chief Economist, U.S. Commodity Futures Trading Commission, Washington, DC; 3: Adjunct Professor of Finance, George Mason University, Fairfax, Virginia; Issue Info: Jul2005, Vol. 25 Issue 7, p679; Thesaurus Term: FUTURES market; Thesaurus Term: FUTURES; Thesaurus Term: STOCKS (Finance); Thesaurus Term: STOCK exchanges; Thesaurus Term: PRICES; Thesaurus Term: REGRESSION analysis; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; Number of Pages: 37p; Document Type: Article L3 - 10.1002/fut.20160 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=17033013&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Haigh, Michael S. AD - US Commodity Futures Trading Commission and U MD T1 - Conditional Volatility Forecasting in a Dynamic Hedging Model JO - Journal of Forecasting JF - Journal of Forecasting Y1 - 2005/04// VL - 24 IS - 3 SP - 155 EP - 172 SN - 02776693 N1 - Accession Number: 0797953; Keywords: Forecasting; Hedging; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 200510 N2 - This paper addresses several questions surrounding volatility forecasting and its use in the estimation of optimal hedging ratios. Specifically: Are there economic gains by nesting time-series econometric models (GARCH) and dynamic programming models (therefore forecasting volatility several periods out) in the estimation of hedging ratios whilst accounting for volatility in the futures bid-ask spread? Are the forecasted hedging ratios (and wealth generated) from the nested bid-ask model statistically and economically different than standard approaches? Are there times when a trader following a basic model that does not forecast outperforms a trader using the nested bid-ask model? On all counts the results are encouraging--a trader that accounts for the bid-ask spread and forecasts volatility several periods in the nested model will incur lower transactions costs and gain significantly when the market suddenly and abruptly turns. KW - Forecasting Models; Simulation Methods C53 KW - Portfolio Choice; Investment Decisions G11 KW - Contingent Pricing; Futures Pricing; option pricing G13 KW - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill G32 L3 - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291099-131X/issues UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0797953&site=ehost-live&scope=site UR - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291099-131X/issues DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Gao, Andre H. AU - Wang, George H. K. AD - Fannie Mae, Washington, DC AD - Commodity Futures Trading Commission T1 - Asymmetric Volatility of Basis and the Theory of Storage JO - Journal of Futures Markets JF - Journal of Futures Markets Y1 - 2005/04// VL - 25 IS - 4 SP - 399 EP - 418 SN - 02707314 N1 - Accession Number: 0770789; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 200504 N2 - The theory of storage states that the marginal convenience yield on inventory falls at a decreasing rate as inventory increases. Previous literature has tested this hypothesis using the so-called "direct test" approach, which employs a direct measurement of inventory levels, or the "indirect test" approach, which examines the relative variation of spot and futures prices and the relative variation of negative basis to positive basis as alternative proxies for inventory levels. The rationale behind the indirect test is based on the hypothesis that futures prices are less variable than spot prices when inventory is low, and have similar variability when inventory is high. The authors propose a "unified test" of the theory of storage that incorporates aspects of both direct and indirect tests in an ARMAX-asymmetric GARCH model framework. KW - Contingent Pricing; Futures Pricing; option pricing G13 L3 - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0770789&site=ehost-live&scope=site UR - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Haigh, Michael S. AU - List, John A. AD - US Commodity Futures Trading Commission and AREC, U MD AD - U MD T1 - Do Professional Traders Exhibit Myopic Loss Aversion? An Experimental Analysis JO - Journal of Finance JF - Journal of Finance Y1 - 2005/02// VL - 60 IS - 1 SP - 523 EP - 534 SN - 00221082 N1 - Accession Number: 0761891; Keywords: Equity Premium; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 200502 N2 - Two behavioral concepts, loss aversion and mental accounting, have been combined to provide a theoretical explanation of the equity premium puzzle. Recent experimental evidence supports the theory, as students' behavior has been found to be consistent with myopic loss aversion (MLA). Yet, much like certain anomalies in the realm of riskless decision-making, these behavioral tendencies may be attenuated among professionals. Using traders recruited from the CBOT, we do indeed find behavioral differences between professionals and students, but rather than discovering that the anomaly is muted, we find that traders exhibit behavior consistent with MLA to a greater extent than students. KW - Portfolio Choice; Investment Decisions G11 KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 L3 - http://onlinelibrary.wiley.com/journal/10.1111/%28ISSN%291540-6261/issues UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0761891&site=ehost-live&scope=site UR - http://onlinelibrary.wiley.com/journal/10.1111/%28ISSN%291540-6261/issues DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Reiffen, David AU - Ward, Michael R. T1 - Generic Drug Industry Dynamics. JO - Review of Economics & Statistics JF - Review of Economics & Statistics Y1 - 2005/02// VL - 87 IS - 1 M3 - Article SP - 37 EP - 49 PB - MIT Press SN - 00346535 AB - Because of its unique institutional and regulatory features, the generic drug industry provides a useful laboratory for understanding how competition evolves. We exploit these features to estimate a system of structural relationships in this industry, including the relationship between price and the number of competitors, and between drug characteristics and the entry process. Our methodology yields a number of findings regarding industry dynamics. We find that generic drug prices fall with increasing number of competitors, but remain above long-run marginal cost until there are eight or more competitors. We also find the size and time paths of generic revenues, rents, and the number of firms are greatly affected by expected market size. Finally, we show how estimates derived from a system of structural equations can be used to simulate the effect of changes in an exogenous variable. [ABSTRACT FROM AUTHOR] AB - Copyright of Review of Economics & Statistics is the property of MIT Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PHARMACEUTICAL industry KW - COMMERCE KW - ECONOMICS KW - COMPETITION KW - GENERIC drugs N1 - Accession Number: 16466895; Reiffen, David 1; Ward, Michael R. 2; Affiliations: 1: Commodity Futures Trading Commission; 2: University of Texas, Arlington; Issue Info: Feb2005, Vol. 87 Issue 1, p37; Thesaurus Term: PHARMACEUTICAL industry; Thesaurus Term: COMMERCE; Thesaurus Term: ECONOMICS; Subject Term: COMPETITION; Subject Term: GENERIC drugs; NAICS/Industry Codes: 325412 Pharmaceutical Preparation Manufacturing; NAICS/Industry Codes: 325410 Pharmaceutical and medicine manufacturing; NAICS/Industry Codes: 414510 Pharmaceuticals and pharmacy supplies merchant wholesalers; NAICS/Industry Codes: 424210 Drugs and Druggists' Sundries Merchant Wholesalers; Number of Pages: 13p; Illustrations: 4 Charts; Document Type: Article; Full Text Word Count: 12006 L3 - 10.1162/0034653053327694 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=16466895&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - List, John A. AU - Haigh, Michael S. T1 - A simple test of expected utility theory using professional traders. JO - Proceedings of the National Academy of Sciences of the United States of America JF - Proceedings of the National Academy of Sciences of the United States of America Y1 - 2005/01/18/ VL - 102 IS - 3 M3 - Article SP - 945 EP - 948 SN - 00278424 AB - We compare behavior across students and professional traders from the Chicago Board of Trade in a classic Allais paradox experiment. Our experiment tests whether independence, a necessary condition in expected utility theory, is systematically violated. We find that both students and professionals exhibit some behavior consistent with the Allais paradox, but the data pattern does suggest that the trader population falls prey to the Allais paradox less frequently than the student population. [ABSTRACT FROM AUTHOR] AB - Copyright of Proceedings of the National Academy of Sciences of the United States of America is the property of National Academy of Sciences and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - UTILITY theory KW - DEMAND (Economic theory) KW - VALUE (Economics) KW - STUDENTS KW - EDUCATION KW - COMMODITY exchanges KW - Allais paradox KW - experiments KW - futures traders N1 - Accession Number: 16049725; List, John A. 1,2,3; Email Address: jlist@arec.umd.edu Haigh, Michael S. 2,4; Affiliation: 1: Department of Economics, University of Maryland, College Park, MD 20742. 2: Department of Agricultural and Resource Economics, University of Maryland, College Park, MD 20742. 3: National Bureau of Economic Research, Cambridge, MA 02138. 4: Office of the Chief Economist, U.S. Commodity Futures Trading Commission, Washington, DC 20581.; Source Info: 1/18/2005, Vol. 102 Issue 3, p945; Subject Term: UTILITY theory; Subject Term: DEMAND (Economic theory); Subject Term: VALUE (Economics); Subject Term: STUDENTS; Subject Term: EDUCATION; Subject Term: COMMODITY exchanges; Author-Supplied Keyword: Allais paradox; Author-Supplied Keyword: experiments; Author-Supplied Keyword: futures traders; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 611699 All Other Miscellaneous Schools and Instruction; NAICS/Industry Codes: 923110 Administration of Education Programs; NAICS/Industry Codes: 611710 Educational Support Services; Number of Pages: 4p; Document Type: Article L3 - 10.1073/pnas.0408022101 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=16049725&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Bryant, Henry L. AU - Haigh, Michael S. AD - U CA, Berkeley AD - US Commodity Futures Trading Commission T1 - Bid-Ask Spreads in Commodity Futures Markets JO - Applied Financial Economics JF - Applied Financial Economics Y1 - 2004/09// VL - 14 IS - 13 SP - 923 EP - 936 SN - 09603107 N1 - Accession Number: 0751261; Keywords: Futures Market; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 200411 N2 - Issues of recent interest and controversy regarding bid-ask spreads in commodity futures markets are investigated. First, competing spread estimators are applied to open outcry transactions data and resulting estimates are compared to observed spreads. This enables market microstructure researchers, regulators, exchange officials, and traders the opportunity to evaluate the usefulness and accuracy of bid-ask estimators in markets that do not report bid and ask data, providing an idea of the "worst-case" transaction costs that are likely to be incurred. Also compared, are spreads observed before and after trading was automated (and made anonymous) on commodity futures markets, and it is discovered that spreads have generally widened since trading was automated, and that they have an increased tendency to widen in periods of high volatility. These findings suggest that commodity futures markets have an inherently different character than financial futures markets, and therefore merit separate investigation. KW - Contingent Pricing; Futures Pricing; option pricing G13 L3 - http://www.tandfonline.com/loi/rafe20 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0751261&site=ehost-live&scope=site UR - http://www.tandfonline.com/loi/rafe20 DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Haigh, Michael S. AU - Nomikos, Nikos K. AU - Bessler, David A. T1 - Integration and Causality in International Freight Markets: Modeling with Error Correction and Directed Acyclic Graphs. JO - Southern Economic Journal JF - Southern Economic Journal Y1 - 2004/07// VL - 71 IS - 1 M3 - Article SP - 145 EP - 162 PB - John Wiley & Sons, Inc. SN - 00384038 AB - Using directed acyclic graphs (DAGs) and error correction models, we study the dynamics of freight prices that comprise the Baltic Panamax Index (BPI), the index on which freight futures trading was based. The DAGs are used to make statements about the contemporaneous correlations between prices and allow us to address the construction of the data-determined orthogonalization on contemporaneous innovation covariance, which is crucial in providing inference in innovation accounting techniques. Our results provide a source of information on price discovery and suggest that the index is not appropriately composed and weighted, which may help explain the failure of the Baltic International Freight Futures Exchange (BIFFEX) contract. [ABSTRACT FROM AUTHOR] AB - Copyright of Southern Economic Journal is the property of John Wiley & Sons, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FREIGHT & freightage KW - RATES KW - INDEXATION (Economics) KW - ECONOMIC models KW - ACCOUNTING methods KW - FUTURES KW - PRICES N1 - Accession Number: 13990094; Haigh, Michael S. 1,2; Email Address: mhaigh@cftc.gov; Nomikos, Nikos K. 3; Email Address: n.nomikos@city.ac.uk; Bessler, David A. 4; Email Address: d-bessler@tamu.edu; Affiliations: 1: U.S. Commodity Futures Trading Commission, 8010 Three Lafayette Center, 1155 21st Street, NW, Washington DC, 20581; 2: Community College of Rhode Island, Newport; 3: Faculty of Finance, Cass Business School, London EC1Y 8TZ, UK; 4: Department of Agricultural Economics, Texas A&M University, 349A Blocker Building, College Station, TX 77840; Issue Info: Jul2004, Vol. 71 Issue 1, p145; Thesaurus Term: FREIGHT & freightage; Thesaurus Term: RATES; Thesaurus Term: INDEXATION (Economics); Thesaurus Term: ECONOMIC models; Thesaurus Term: ACCOUNTING methods; Thesaurus Term: FUTURES; Thesaurus Term: PRICES; Number of Pages: 18p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=13990094&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Hosken, Daniel AU - Reiffen, David AD - US Federal Trade Commission AD - US Commodity Futures Trading Commission T1 - How Retailers Determine Which Products Should Go on Sale: Evidence from Store-Level Data JO - Journal of Consumer Policy JF - Journal of Consumer Policy Y1 - 2004/06// VL - 27 IS - 2 SP - 141 EP - 177 SN - 01687034 N1 - Accession Number: 0743527; Keywords: Consumer; Pricing; Retail; Retailers; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 200409 N2 - Recent theoretical research on retail pricing dynamics provides an explanation of why retailers periodically put items on sale, even when their costs are unchanged. The authors extend this research to show that more popular items (i.e., those that appeal to a wide range of consumers) are more likely to go on sale. One implication of the proposed model is that a good is more likely to be on sale when demand for the good is at its season peak (e.g., eggs at Easter). This implication is tested using store-level retail price data, and the prediction is borne out for the categories of goods that are examined. Additional tests also support the premise that popularity and frequency of sales are positively related. KW - Consumer Economics: Empirical Analysis D12 KW - Production, Pricing, and Market Structure; Size Distribution of Firms L11 KW - Retail and Wholesale Trade; e-Commerce L81 KW - Marketing M31 L3 - http://link.springer.com/journal/volumesAndIssues/10603 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0743527&site=ehost-live&scope=site UR - http://link.springer.com/journal/volumesAndIssues/10603 DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Newsome, James E. AD - Commodity Futures Trading Commission, Washington, DC T1 - Contract Modifications and the Basis Behavior of Live Cattle Futures JO - Journal of Futures Markets JF - Journal of Futures Markets Y1 - 2004/06// VL - 24 IS - 6 SP - 557 EP - 590 SN - 02707314 N1 - Accession Number: 0731567 Partial authors List; ; Keywords: Cattle; Prices; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 200406 N2 - The purpose of this study was to assess the basis behavior of the Live Cattle Futures contract at the Chicago Mercantile Exchange (CME) before and after the 1995 contract changes. Additionally, an alternative method of basis calculation utilizing weighted mean futures prices versus settlement futures prices was compared to determine which method provides a better representation of the basis level. Within a regression model with heteroskedascity error framework, we found that the level of nearby basis in the period after June 1995 has shifted lower and the average monthly open interest of net commercial long positions has substantially increased after the contract modifications. These empirical results are consistent with the notion that more long activity entered the market in response to the contract modifications. Additionally, an alternative (new) measure of basis calculation (cash price minus weighted mean futures price) produced similar results to two other commonly used measures. In conclusion, the 1995 contract changes have neither increased nor decreased the volatility of live cattle basis. KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 KW - Contingent Pricing; Futures Pricing; option pricing G13 KW - Agriculture: Aggregate Supply and Demand Analysis; Prices Q11 L3 - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0731567&site=ehost-live&scope=site UR - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Hosken, Daniel AU - Reiffen, David AD - US Federal Trade Commission AD - US Commodity Futures Trading Commission T1 - Patterns of Retail Price Variation JO - RAND Journal of Economics JF - RAND Journal of Economics Y1 - 2004///Spring VL - 35 IS - 1 SP - 128 EP - 146 SN - 07416261 N1 - Accession Number: 0736899; Keywords: Grocery; Retail; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 200407 N2 - We examine retail price variation across a range of goods and regions of the United States. We find that the typical grocery product has a regular price and stays at that price at least 50% of the time, and that most deviations from that regular price are downward. Temporary discounts or sales, while infrequent, account for 20% to 50% of the annual variation in retail prices for most product categories. Although existing models of retail sales yield predictions consistent with some aspects of the retail pricing distributions, all of these models fail to explain other important aspects of retail pricing identified here. KW - Production, Pricing, and Market Structure; Size Distribution of Firms L11 KW - Retail and Wholesale Trade; e-Commerce L81 L3 - http://onlinelibrary.wiley.com/journal/10.1111/%28ISSN%291756-2171/issues UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0736899&site=ehost-live&scope=site UR - http://onlinelibrary.wiley.com/journal/10.1111/%28ISSN%291756-2171/issues DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Hosken, Daniel AU - Reiffen, David T1 - Patterns of retail variation. JO - RAND Journal of Economics (RAND Journal of Economics) JF - RAND Journal of Economics (RAND Journal of Economics) Y1 - 2004///Spring2004 VL - 35 IS - 1 M3 - Article SP - 128 EP - 146 SN - 07416261 AB - We examine retail price variation across a range of goods and regions of the United States. We find that the typical grocery product has a regular price and stays at that price at least 50% of the time, and that most deviations from that regular price are downward. Temporary discounts or sales, while infrequent, account for 20% to 50% of the annual variation in retail prices for most product categories. Although existing models of retail sales yield predictions consistent with some aspects of the retail pricing distributions, all of these models fail to explain other important aspects of retail pricing identified here. [ABSTRACT FROM AUTHOR] AB - Copyright of RAND Journal of Economics (RAND Journal of Economics) is the property of RAND Journal of Economics and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PRICES KW - RETAIL industry KW - UNITED States N1 - Accession Number: 13490619; Hosken, Daniel 1; Email Address: dhosken@ftc.gov; Reiffen, David 2; Email Address: dreiffen@cftc.gov; Affiliations: 1 : U.S. Federal Trade Commission; 2 : U.S. Commodity Futures Trading Commission; Source Info: Spring2004, Vol. 35 Issue 1, p128; Subject Term: PRICES; Subject Term: RETAIL industry; Subject: UNITED States; Number of Pages: 19p; Illustrations: 8 Charts, 5 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=24h&AN=13490619&site=ehost-live&scope=site DP - EBSCOhost DB - 24h ER - TY - JOUR AU - Byers, Steven AU - Cutler, Harvey AU - Davies, Stephen AD - Commodity Futures Trading Commission, Chicago AD - CO State U AD - CO State U T1 - Estimating Costs and Benefits of Economic Growth: A CGE-Based Study of Tax Incentives in a Rapidly Growing Region JO - Journal of Regional Analysis and Policy JF - Journal of Regional Analysis and Policy Y1 - 2004/// VL - 34 IS - 2 SP - 1 EP - 20 SN - 10904999 N1 - Accession Number: 0864008; Keywords: Municipalities; Tax; Geographic Descriptors: U.S.; Publication Type: Journal Article; Update Code: 200609 N2 - Municipalities have used tax incentives to attract manufacturing firms to counteract market failures, mobilize resources in blighted areas, and engage in bidding wars with other jurisdictions. These reasons have typically been remedies for regions experiencing unemployment and low growth. However, high growth areas still use tax incentives to manage growth. In these cases, the costs of growth, especially related to congestion, pollution, costs of city services and rising prices, must be compared to economic benefits resulting from a tax incentive. The case study in this paper is based on a proposal to the city of Fort Collins, Colorado by Hyundai Corporation, who requested a $25.5 million use tax rebate. This paper uses a data intensive computable general equilibrium (CGE) model to estimate endogenously the costs and benefits of growth. Results of the analysis suggest an $18.15 million rebate was warranted. KW - Multinational Firms; International Business F23 KW - State and Local Taxation, Subsidies, and Revenue H71 KW - Regional Economic Activity: Growth, Development, Environmental Issues, and Changes R11 KW - General Regional Economics: Econometric and Input-Output Models; Other Models R15 KW - Other Spatial Production and Pricing Analysis R32 KW - Finance in Urban and Rural Economies R51 L3 - http://www.jrap-journal.org/pastvolumes/most_recent.htm UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0864008&site=ehost-live&scope=site UR - http://www.jrap-journal.org/pastvolumes/most_recent.htm DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Karagozoglu, Ahmet K. AU - Martell, Terrence F. AU - Wang, George H. K. T1 - The Split of the S&P 500 Futures Contract: Effects on Liquidity and Market Dynamics. JO - Review of Quantitative Finance & Accounting JF - Review of Quantitative Finance & Accounting Y1 - 2003/12// VL - 21 IS - 4 M3 - Article SP - 323 EP - 348 SN - 0924865X AB - This research investigates the effects of changes in the contract and tick sizes on liquidity and market dynamics in a futures market. The Chicago Mercantile Exchange has reduced the size of the Standard & Poor's (S&P) 500 contract by decreasing its multiplier from 500 to 250 while increasing the minimum tick from 0.05 to 0.10 on November 03, 1997. The split of the S&P 500 futures contract is a rare major change in the specifications of a very successful contract on the U.S. futures exchange. The contract split is represented as an intervention. The main contribution of this study is the use of multiple intervention analysis with various dynamic response functions to examine the effects of the split while taking into account several other major market events surrounding it. The findings of this study supports the hypothesis that the change in the tick size is not binding as it has not resulted in higher spreads. KW - STOCK price indexes KW - STANDARD & Poor's 500 Index KW - FUTURES market KW - LIQUIDITY (Economics) KW - SECURITIES markets KW - CHICAGO Mercantile Exchange N1 - Accession Number: 11932612; Karagozoglu, Ahmet K. 1; Email Address: finakk@hofstra.edu; Martell, Terrence F. 2; Email Address: terrence_martell@baruch.cuny.edu; Wang, George H. K. 3; Email Address: gwang@cftc.gov; Affiliations: 1: Department of Finance, Hofstra University, Hempstead, NY 11549, USA.; 2: Department of Economics and Finance, Zicklin Scholl of Business, Baruch College, CUNY, One Baruch Way, Box J-0810 New York, NY 10010, USA.; 3: Office of Chief Economist, Commodity Futures Trading Commission, 1155 21st Street, N.W., Washington, DC 20581, USA.; Issue Info: Dec2003, Vol. 21 Issue 4, p323; Thesaurus Term: STOCK price indexes; Thesaurus Term: STANDARD & Poor's 500 Index; Thesaurus Term: FUTURES market; Thesaurus Term: LIQUIDITY (Economics); Thesaurus Term: SECURITIES markets ; Company/Entity: CHICAGO Mercantile Exchange; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522321 Central credit unions; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 26p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11932612&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Johnson, Philip McBride T1 - Texas judgments weaken US futures watchdog. JO - International Financial Law Review JF - International Financial Law Review Y1 - 2003/10// VL - 22 IS - 10 M3 - Article SP - 21 EP - 22 PB - Euromoney Institutional Investor PLC SN - 02626969 AB - The article explains how recent judgements in price manipulation cases are threatening the authority of the U.S. Commodity Futures Trading Commission (CFTC). The month of August 2003 brought uncertainty to the authority of the Commodity Futures Trading Commission in an area that it considers to be its most important role: preventing the manipulation of commodity prices. As a result, two decisions by Nancy Atlas, a federal district court judge in Texas, on August 26 and 27 that declared key aspects of the CFTC's power unconstitutional have shaken the foundation of the Commission's mandate. KW - SECURITIES -- Prices KW - SECURITIES commissions KW - PRICE regulation KW - ACTIONS & defenses (Law) KW - UNITED States KW - UNITED States. Commodity Futures Trading Commission N1 - Accession Number: 11331931; Johnson, Philip McBride 1; Affiliations: 1: Former chairman of the US Commodity Futures Trading Commission.; Issue Info: Oct2003, Vol. 22 Issue 10, p21; Thesaurus Term: SECURITIES -- Prices; Thesaurus Term: SECURITIES commissions; Thesaurus Term: PRICE regulation; Thesaurus Term: ACTIONS & defenses (Law); Subject: UNITED States ; Company/Entity: UNITED States. Commodity Futures Trading Commission; NAICS/Industry Codes: 926150 Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523120 Securities Brokerage; Number of Pages: 2p; Document Type: Article; Full Text Word Count: 1228 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11331931&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - CHAP AU - Corcoran, Andrea M. AU - Hobson, Ronald B. AU - Kuserk, Gregory J. AU - Wuertz, Karen K. AU - West, Derek AD - US Commodity Futures Trading Commission AD - US Commodity Futures Trading Commission AD - US Commodity Futures Trading Commission AD - National Futures Association AD - National Futures Association A2 - Dowers, Kenroy A2 - Masci, Pietro T1 - Designing a Derivatives Complement to Cash Markets in Developing Countries T2 - Focus on capital: New approaches to developing Latin American capital markets PB - Washington, D.C.: PB - Inter-American Development Bank; distributed by Johns Hopkins University Press, Baltimore Y1 - 2003/// SP - 335 EP - 387 N1 - Accession Number: 0786844; Reviewed Book ISBN: 1-931003-49-1; Keywords: Derivatives; Developing Countries; Geographic Descriptors: Brazil; Geographic Region: Latin America and the Caribbean; Publication Type: Collective Volume Article; Update Code: 200508 KW - Contingent Pricing; Futures Pricing; option pricing G13 KW - General Financial Markets: Government Policy and Regulation G18 KW - Economic Development: Financial Markets; Saving and Capital Investment; Corporate Finance and Governance O16 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0786844&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - CHAP AU - O'Connell, Jeffrey AU - Joost, Robert H. AD - U VA AD - US Commodity Futures Trading Commission A2 - Lascher, Edward L., Jr. A2 - Powers, Michael R. T1 - Giving Motorists a Choice between Fault and No-Fault Insurance T2 - The economics and politics of choice no-fault insurance PB - Huebner International Series on Risk, Insurance, and Economic Security, vol. 24. PB - Boston; Dordrecht and London: PB - Kluwer Academic Y1 - 2001/// SP - 191 EP - 217 RP - [1986] N1 - Accession Number: 0660086; Reviewed Book ISBN: 0-7923-7467-3; Keywords: Insurance; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Collective Volume Article; Update Code: 200309 KW - Insurance; Insurance Companies; Actuarial Studies G22 KW - Tort Law and Product Liability; Forensic Economics K13 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0660086&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Wang, George H. K. AU - Yau, Jot AD - Commodity Futures Trading Commission and U MD AD - George Mason U T1 - Trading Volume, Bid-Ask Spread, and Price Volatility in Futures Markets JO - Journal of Futures Markets JF - Journal of Futures Markets Y1 - 2000/11// VL - 20 IS - 10 SP - 943 EP - 970 SN - 02707314 N1 - Accession Number: 0557385; Keywords: Futures Market; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 200103 KW - Contingent Pricing; Futures Pricing; option pricing G13 L3 - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0557385&site=ehost-live&scope=site UR - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Sa-Aadu, J. AU - Shilling, James D. AU - Wang, George H. K. AD - U IA AD - U WI AD - Commodity Futures Trading Commission, Washington, DC T1 - A Test of Integration and Cointegration of Commercial Mortgage Rates JO - Journal of Financial Services Research JF - Journal of Financial Services Research Y1 - 2000/10// VL - 18 IS - 1 SP - 45 EP - 61 SN - 09208550 N1 - Accession Number: 0557374; Keywords: Mortgage Market; Mortgage; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 200103 N2 - Little empirical work examines the extent to which commercial mortgage markets are integrated into broader capital markets. We use time series data on commercial mortgage yields and yields on comparable-maturity Treasury securities to identify a long-run cointegrating relationship between the two yield series. Our empirical evidence suggest that, while the yield on commercial mortgage is cointegrated with that on comparable-maturity Treasury securities, the cointegrating relationship is far less than that found between the yield on residential mortgage rates and that on comparable-maturity Treasury securities during 1980-90 time period. However, our results also show that the spate of commercial mortgage securitization that began in early 1991 may have been a market-integrating force and caused the commercial mortgage market to become more integrated into broader capital markets. Indeed, our results suggest that changes in capital market rates are now much more rapidly reflected in commercial mortgage rates than in the 1980-90 time period, although there is a lag. KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 L3 - http://link.springer.com/journal/volumesAndIssues/10693 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0557374&site=ehost-live&scope=site UR - http://link.springer.com/journal/volumesAndIssues/10693 DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Park, Chul Woo AD - Commodity Futures Trading Commission T1 - Examining Futures Price Changes and Volatility on the Trading Day after a Limit-Lock Day JO - Journal of Futures Markets JF - Journal of Futures Markets Y1 - 2000/05// VL - 20 IS - 5 SP - 445 EP - 466 SN - 02707314 N1 - Accession Number: 0534387; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 200010 KW - Contingent Pricing; Futures Pricing; option pricing G13 KW - Information and Market Efficiency; Event Studies; Insider Trading G14 L3 - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0534387&site=ehost-live&scope=site UR - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Chul Woo Park T1 - Maturity structure of public debt and expected bond returns. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 1999/09// VL - 23 IS - 9 M3 - Article SP - 1407 EP - 1435 SN - 03784266 AB - The relevancy of changes in maturity structure is tested using a disaggregated measure of the maturity composition of government debt. Tests based on predictions from the market efficiency and rational expectations theories find evidence that maturity composition occasionally helps to predict future excess returns. The maturity composition is also found to be correlated with the term premium and future changes in the short rate. The evidence supports the claim that bonds with all the same characteristics except maturity are not perfect substitutes. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Banking & Finance is the property of Elsevier Science Publishing Company, Inc. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - PUBLIC debts KW - BONDS (Finance) KW - BOND market KW - INTEREST rates KW - UNITED States N1 - Accession Number: 11496023; Chul Woo Park 1; Affiliations: 1: Georgetown University, Department of Economics, USA; Commodity Futures Trading Commission, Three Lafayette Centre, USA; Issue Info: Sep99, Vol. 23 Issue 9, p1407; Thesaurus Term: PUBLIC debts; Thesaurus Term: BONDS (Finance); Thesaurus Term: BOND market; Thesaurus Term: INTEREST rates; Subject: UNITED States; NAICS/Industry Codes: 921130 Public Finance Activities; Number of Pages: 29p; Illustrations: 7 Charts, 3 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11496023&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Park, Chul Woo AD - Georgetown U and Commodity Futures Trading Commission, Washington, DC T1 - Maturity Structure of Public Debt and Expected Bond Returns JO - Journal of Banking and Finance JF - Journal of Banking and Finance Y1 - 1999/09// VL - 23 IS - 9 SP - 1407 EP - 1435 SN - 03784266 N1 - Accession Number: 0504477; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 199912 N2 - The relevancy of changes in maturity structure is tested using a disaggregated measure of the maturity composition of government debt. Tests based on predictions from the market efficiency and rational expectations theories find evidence that maturity composition occasionally helps to predict future excess returns. The maturity composition is also found to be correlated with the term premium and future changes in the short rate. The evidence supports the claim that bonds with all the same characteristics except maturity are not perfect substitutes. KW - Information and Market Efficiency; Event Studies; Insider Trading G14 KW - Interest Rates: Determination, Term Structure, and Effects E43 L3 - http://www.sciencedirect.com/science/journal/03784266 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0504477&site=ehost-live&scope=site UR - http://www.sciencedirect.com/science/journal/03784266 DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Gao, Andre H. AU - Wang, George H. K. AD - China Everbright Holdings Co, LTD, Hong Kong AD - Commodity Futures Trading Commission and George Mason U T1 - Modeling Nonlinear Dynamics of Daily Futures Price Changes JO - Journal of Futures Markets JF - Journal of Futures Markets Y1 - 1999/05// VL - 19 IS - 3 SP - 325 EP - 351 SN - 02707314 N1 - Accession Number: 0494724; Geographic Descriptors: Selected Countries; Publication Type: Journal Article; Update Code: 199908 KW - Contingent Pricing; Futures Pricing; option pricing G13 L3 - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0494724&site=ehost-live&scope=site UR - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Locke, Peter R. AU - Sarkar, Asani AU - Lifan Wu T1 - Market Liquidity and Trader Welfare in Multiple Dealer Markets: Evidence from Dual Trading Restrictions. JO - Journal of Financial & Quantitative Analysis JF - Journal of Financial & Quantitative Analysis Y1 - 1999/03// VL - 34 IS - 1 M3 - Article SP - 57 EP - 88 PB - Cambridge University Press SN - 00221090 AB - In the context of dual trading restrictions, we examine whether aggregate liquidity measures are appropriate indicators of trader welfare in multiple dealer markets. Consistent with our theoretical results, we show empirically that dual trading restrictions did not affect market liquidity significantly, but dual traders of above average skills may have quit brokerage and switched to trading exclusively for their own accounts following restrictions. Further, customers of these dual traders had lower trading costs in the period before restrictions relative to the trading costs of all customers after restrictions. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Financial & Quantitative Analysis is the property of Cambridge University Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - LIQUIDITY (Economics) KW - FLOOR traders (Finance) KW - TRADE regulation KW - FUTURES KW - FINANCE KW - EMPIRICAL research KW - CAPITAL market KW - COMPARATIVE marketing KW - TRANSACTION costs KW - MATHEMATICAL models KW - BROKERS KW - HEDGING (Finance) N1 - Accession Number: 1710415; Locke, Peter R. 1; Sarkar, Asani 2; Lifan Wu 3; Affiliations: 1: Commodity Futures Trading Commission, 2033 K Street, N.W., Three Lafayette Center, Washington DC, 20581; 2: Federal Reserve Bank of New York, Research Department, 33 Liberty St., New York, NY 10045; 3: California State University, Los Angeles, Department of Finance and Law, 5151 State University Dr., Los Angeles, CA 90032; Issue Info: Mar1999, Vol. 34 Issue 1, p57; Thesaurus Term: LIQUIDITY (Economics); Thesaurus Term: FLOOR traders (Finance); Thesaurus Term: TRADE regulation; Thesaurus Term: FUTURES; Thesaurus Term: FINANCE; Thesaurus Term: EMPIRICAL research; Thesaurus Term: CAPITAL market; Thesaurus Term: COMPARATIVE marketing; Thesaurus Term: TRANSACTION costs; Thesaurus Term: MATHEMATICAL models; Thesaurus Term: BROKERS; Thesaurus Term: HEDGING (Finance); NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523120 Securities Brokerage; NAICS/Industry Codes: 522320 Financial Transactions Processing, Reserve, and Clearinghouse Activities; NAICS/Industry Codes: 522321 Central credit unions; Number of Pages: 32p; Illustrations: 6 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=1710415&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Wang, George H. K. AU - Yau, Jot AU - Baptiste, Tony AD - Commodity Futures Trading Commission and George Mason U AD - George Mason U AD - Commodity Futures Trading Commission T1 - Trading Volume and Transaction Costs in Futures Markets JO - Journal of Futures Markets JF - Journal of Futures Markets Y1 - 1997/10// VL - 17 IS - 7 SP - 757 EP - 780 SN - 02707314 N1 - Accession Number: 0434365; Keywords: Futures Market; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 199712 KW - Contingent Pricing; Futures Pricing; option pricing G13 L3 - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0434365&site=ehost-live&scope=site UR - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Dutt, Hans R. AD - Commodity Futures Trading Commission T1 - Crop Year Influences and Variability of the Agricultural Futures Spreads JO - Journal of Futures Markets JF - Journal of Futures Markets Y1 - 1997/05// VL - 17 IS - 3 SP - 341 EP - 367 SN - 02707314 N1 - Accession Number: 0421522 Partial authors List; ; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 199707 KW - Contingent Pricing; Futures Pricing; option pricing G13 KW - Agricultural Finance Q14 L3 - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0421522&site=ehost-live&scope=site UR - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Locke, Peter R. AU - Venkatesh, P. C. AD - Commodity Futures Trading Commission AD - Office of the Comptroller of the Currency T1 - Futures Market Transaction Costs JO - Journal of Futures Markets JF - Journal of Futures Markets Y1 - 1997/04// VL - 17 IS - 2 SP - 229 EP - 245 SN - 02707314 N1 - Accession Number: 0413241; Keywords: Futures Market; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 199706 KW - Contingent Pricing; Futures Pricing; option pricing G13 L3 - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0413241&site=ehost-live&scope=site UR - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Makenete A.L. AU - Ortmann G.F. AU - Darroch M.A.G. TI - Maize marketing and pricing in Lesotho: Implications for policy reform. [Language: eng] JO - Agrekon [English Ed] PY - 1997/01/01/ VL - 10 IS - (1) SP - 10 EP - 26 SN - 03031853 N1 - Database Contributor: AGRIS. Database Contributor ID: ZA19970101571. Database Subset: AFRICAN STUDIES. Corporate Author: Natal Univ., Pietermaritzburg [South Africa]. Dept. of Agricultural Economics; United States. Commodity Futures Trading Commission. Language: English. Document Type: Article. Publication Type: Journal Article. Accession Number: ZA19970101571. KW - fixation des prix KW - maiz KW - price fixing KW - marketing KW - maize KW - commercialisation KW - mercadeo KW - mais KW - fijacion de precios KW - lesotho UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=awn&AN=ZA19970101571&site=ehost-live&scope=site DP - EBSCOhost DB - awn ER - TY - JOUR AU - Kuserk, Gregory J. AU - Locke, Peter R. AD - Commodity Futures Trading Commission AD - Commodity Futures Trading Commission T1 - Market Making with Price Limits JO - Journal of Futures Markets JF - Journal of Futures Markets Y1 - 1996/09// VL - 16 IS - 6 SP - 677 EP - 696 SN - 02707314 N1 - Accession Number: 0398031; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 199612 KW - Contingent Pricing; Futures Pricing; option pricing G13 L3 - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0398031&site=ehost-live&scope=site UR - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues DP - EBSCOhost DB - ecn ER - TY - GEN AU - Schapiro, Mary L. AU - Varhalla, Jeff AU - Ron, Nathan AU - Moody, Corlis S. AU - Roberts, Brad AU - Zusman, Morris AU - Shuman, Michael G. AU - Jones III, J. Laurence T1 - Readers Report. JO - BusinessWeek JF - BusinessWeek J1 - BusinessWeek PY - 1995/04/17/ Y1 - 1995/04/17/ IS - 3420 M3 - Letter SP - 10 EP - 12 SN - 00077135 AB - A letter to the editor is presented in response to the article "The Watchdog Who Barked at Hillary," in the March 27, 1995 issue. KW - LETTERS to the editor KW - UNITED States -- Politics & government N1 - Accession Number: 17926089; Source Information: 4/17/95, Issue 3420, p10; Subject Term: LETTERS to the editor; Subject Term: UNITED States -- Politics & government; Subject Term: ; Number of Pages: 2p; ; Document Type: Letter; UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=mth&AN=17926089&site=ehost-live&scope=site DP - EBSCOhost DB - mth ER - TY - JOUR AU - Chang, Eric C. AU - Jain, Prem C. AU - Locke, Peter R. T1 - Standard & Poor's 500 Index Futures Volatility and Price Changes Around the New York Stock Exchange Close. JO - Journal of Business JF - Journal of Business Y1 - 1995/01// VL - 68 IS - 1 M3 - Article SP - 61 EP - 84 PB - University of Chicago Press SN - 00219398 AB - We examine the effects of the closing of the New York Stock Exchange (NYSE) on volatility and price changes in the Standard & Poor's (S&P) futures market, which trades for 15 more minutes each day. When the NYSE closes, volatility in the futures market drops significantly, only to increase at the close of the futures market, thus exhibiting a U-shaped pattern after the NYSE closes. We also find that Friday's close is the period of highest volatility in the futures market. Also, in the final minutes on Friday, the S&P futures price anticipates the well-known weekend effect found in equities. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Business is the property of University of Chicago Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FUTURES market KW - STANDARD & Poor's 500 Index KW - VOLATILITY (Finance) KW - SECURITIES trading KW - SECURITIES -- Prices KW - NEW York (State) KW - UNITED States KW - NEW York Stock Exchange KW - STANDARD & Poor's Ratings Services Inc. N1 - Accession Number: 9502084646; Chang, Eric C. 1; Jain, Prem C. 2; Locke, Peter R. 3; Affiliations: 1: University of Maryland and Hong Kong University of Science and Technology.; 2: Tulane University.; 3: Commodity Futures Trading Commission.; Issue Info: Jan95, Vol. 68 Issue 1, p61; Thesaurus Term: FUTURES market; Thesaurus Term: STANDARD & Poor's 500 Index; Thesaurus Term: VOLATILITY (Finance); Thesaurus Term: SECURITIES trading; Thesaurus Term: SECURITIES -- Prices; Subject: NEW York (State); Subject: UNITED States ; Company/Entity: NEW York Stock Exchange ; Company/Entity: STANDARD & Poor's Ratings Services Inc.; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523120 Securities Brokerage; Number of Pages: 24p; Illustrations: 7 Charts, 3 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ent&AN=9502084646&site=ehost-live&scope=site DP - EBSCOhost DB - ent ER - TY - JOUR AU - Wang, George H. K. AD - Commodity Futures Trading Commission and George Mason U T1 - An Intraday Analysis of Bid-Ask Spreads and Price Volatility in the S&P 500 Index Futures Market JO - Journal of Futures Markets JF - Journal of Futures Markets Y1 - 1994/10// VL - 14 IS - 7 SP - 837 EP - 859 SN - 02707314 N1 - Accession Number: 0345553 Partial authors List; ; Keywords: Futures Market; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 199503 KW - Contingent Pricing; Futures Pricing; option pricing G13 L3 - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0345553&site=ehost-live&scope=site UR - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Wang, George H. K. AU - Yau, Jot AD - Commodity Futures Trading Commission AD - George Mason U T1 - A Time Series Approach to Testing for Market Linkage: Unit Root and Cointegration Tests JO - Journal of Futures Markets JF - Journal of Futures Markets Y1 - 1994/06// VL - 14 IS - 4 SP - 457 EP - 474 SN - 02707314 N1 - Accession Number: 0331034; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 199412 KW - Contingent Pricing; Futures Pricing; option pricing G13 L3 - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0331034&site=ehost-live&scope=site UR - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Chang, Eric C. AU - Locke, Peter R. AU - Mann, Steven C. AD - Hong Kong U of Science & Technology and U MD AD - Commodity Futures Trading Commission AD - U UT T1 - The Effect of CME Rule 552 on Dual Traders JO - Journal of Futures Markets JF - Journal of Futures Markets Y1 - 1994/06// VL - 14 IS - 4 SP - 493 EP - 510 SN - 02707314 N1 - Accession Number: 0331036; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 199412 KW - General Financial Markets: Government Policy and Regulation G18 L3 - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0331036&site=ehost-live&scope=site UR - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Daigle, Katherine H. AU - Maloney, Michael T. T1 - RESIDUAL CLAIMS IN BANKRUPTCY: AN AGENCY THEORY EXPLANATION. JO - Journal of Law & Economics JF - Journal of Law & Economics Y1 - 1994/04// VL - 37 IS - 1 M3 - Article SP - 157 EP - 192 SN - 00222186 AB - The fundamental conflict between bondholder and shareholder interests has been recognized by economist John Smith. Shareholders engage in riskier projects than those sanctioned by the creditors when the debt is issued. This problem is particularly acute when the firm is in financial distress. Bankruptcy is therefore examined in the context of this agency-cost aspect of the shareholder-debtholder relationship. A policy enigma is detected in the outcome of the default proceeding. To the consternation of many commentators, it seems a rule that shareholders can retain residual-claimant status in the postbankruptcy firm while debtholder claims are unsatisfied. KW - BONDHOLDERS KW - STOCKHOLDERS KW - DEBT KW - BANKRUPTCY KW - SMITH, John N1 - Accession Number: 11478502; Daigle, Katherine H. 1; Maloney, Michael T. 2; Affiliations: 1: Commodity Futures Trading Commission; 2: Clemson University, President; Issue Info: Apr94, Vol. 37 Issue 1, p157; Thesaurus Term: BONDHOLDERS; Thesaurus Term: STOCKHOLDERS; Thesaurus Term: DEBT; Thesaurus Term: BANKRUPTCY; People: SMITH, John; Number of Pages: 36p; Illustrations: 9 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11478502&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - CHAP AU - Butler, J. S. AU - Schachter, Barry AD - Vanderbilt U AD - Commodity Futures Trading Commission A2 - Chance, Don M. A2 - Trippi, Robert R. T1 - Unbiased Estimation of Option Prices: An Examination of the Return from Hedging Options Against Stocks T2 - Advances in futures and options research. Volume 7. PB - Greenwich, Conn. and London: PB - JAI Press Y1 - 1994/// SP - 167 EP - 176 N1 - Accession Number: 0416744; Reviewed Book ISBN: 1-55938-748-3; Keywords: Hedging; Options; Stocks; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Collective Volume Article; Update Code: 199707 KW - Contingent Pricing; Futures Pricing; option pricing G13 KW - Asset Pricing; Trading Volume; Bond Interest Rates G12 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0416744&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Kodres, Laura E. T1 - Tests of unbiasedness in the foreign exchange futures markets: An examination of price limits... JO - Journal of Business JF - Journal of Business Y1 - 1993/07// VL - 66 IS - 3 M3 - Article SP - 463 PB - University of Chicago Press SN - 00219398 AB - Daily price limits, an institutional feature of futures markets, truncate the distribution of price changes and dampen the variance. Previous tests of the unbiasedness hypothesis using daily foreign exchange futures prices have accounted for the observed conditional heteroscedasticity in the data but have neglected to adequately incorporate the additional effects of daily price limits This article examines both time variation and truncation of futures price changes. Empirical results suggest that previous rejections of the unbiasedness hypothesis in the foreign exchange futures market are not substantively altered by inclusion of price limits, but may be attributed to potentially biased testing procedures. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Business is the property of University of Chicago Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - FUTURES KW - FUTURES market KW - FOREIGN exchange KW - DERIVATIVE securities KW - INVESTMENTS KW - INTERNATIONAL finance KW - STOCKS (Finance) -- Prices N1 - Accession Number: 9309096596; Kodres, Laura E. 1,2; Affiliations: 1: University of Michigan.; 2: Commodity Futures Trading Commission.; Issue Info: Jul93, Vol. 66 Issue 3, p463; Thesaurus Term: FUTURES; Thesaurus Term: FUTURES market; Thesaurus Term: FOREIGN exchange; Thesaurus Term: DERIVATIVE securities; Thesaurus Term: INVESTMENTS; Thesaurus Term: INTERNATIONAL finance; Thesaurus Term: STOCKS (Finance) -- Prices; NAICS/Industry Codes: 522293 International Trade Financing; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; Number of Pages: 28p; Illustrations: 1 Diagram, 5 Charts, 8 Graphs; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ent&AN=9309096596&site=ehost-live&scope=site DP - EBSCOhost DB - ent ER - TY - JOUR AU - Kuserk, Gregory J. AU - Locke, Peter R. AD - Commodity Futures Trading Commission AD - Commodity Futures Trading Commission T1 - Scalper Behavior in Futures Markets: An Empirical Examination JO - Journal of Futures Markets JF - Journal of Futures Markets Y1 - 1993/06// VL - 13 IS - 4 SP - 409 EP - 431 SN - 02707314 N1 - Accession Number: 0295181; Keywords: Futures Market; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 199312 KW - Contingent Pricing; Futures Pricing; option pricing G13 L3 - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0295181&site=ehost-live&scope=site UR - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Corcoran, Andrea M. AU - Lawton, John C. AD - Commodity Futures Trading Commission AD - Commodity Futures Trading Commission T1 - Regulatory Oversight and Automated Trading Design: Elements of Consideration JO - Journal of Futures Markets JF - Journal of Futures Markets Y1 - 1993/04// VL - 13 IS - 2 SP - 213 EP - 222 SN - 02707314 N1 - Accession Number: 0290144; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 199309 KW - General Financial Markets: Government Policy and Regulation G18 KW - Contingent Pricing; Futures Pricing; option pricing G13 L3 - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0290144&site=ehost-live&scope=site UR - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Locke, P. R. AU - Sayers, C. L. AD - Commodity Futures Trading Commission AD - U Houston T1 - Intra-day Futures Price Volatility: Information Effects and Variance Persistence JO - Journal of Applied Econometrics JF - Journal of Applied Econometrics Y1 - 1993/01//January-March 1993 VL - 8 IS - 1 SP - 15 EP - 30 SN - 08837252 N1 - Accession Number: 0289896; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 199309 N2 - This paper examines the role of the rate of information arrival proxy variables, as they relate to persistence in the variance structure of minute-by-minute S&P 500 Index Futures returns series. The role of contract volume, floor transactions, the number of price changes, executed order imbalance, and an information composite in reducing variance persistence is examined. All proxy variables are found to explain a significant amount of returns variance. While the characteristics of returns data vary daily, some evidence of remaining variance persistence is found, regardless of the definition of the rate of information arrival variable. Our results suggest that utilization of a pure ARCH-type model for high-frequency returns data implies a mis-specification. KW - Information and Market Efficiency; Event Studies; Insider Trading G14 KW - Contingent Pricing; Futures Pricing; option pricing G13 L3 - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291099-1255/issues UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0289896&site=ehost-live&scope=site UR - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291099-1255/issues DP - EBSCOhost DB - ecn ER - TY - CHAP AU - Locke, Peter R. AU - Sayers, Chera L. AD - Commodity Futures Trading Commission AD - U Houston A2 - Pesaran, M. Hashem A2 - Potter, Simon M. T1 - Intra-Day Futures Price Volatility: Information Effects and Variance Persistence T2 - Nonlinear dynamics, chaos and econometrics PB - Journal of Applied Econometrics, Volume 7, Supplement 1992. PB - New York; Chichester and Brisbane: PB - Wiley Y1 - 1993/// SP - 213 EP - 228 N1 - Accession Number: 0405089; Reviewed Book ISBN: 0-471-93942-0; ; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Collective Volume Article; Update Code: 199704 KW - Model Evaluation, Validation, and Selection C52 KW - Contingent Pricing; Futures Pricing; option pricing G13 KW - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill G32 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0405089&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Nothaft, Frank E. AU - Wang, George H. K. AD - Federal Home Loan Mortgage Corporation AD - Commodity Futures Trading Commission T1 - Seasonal Variation in Cost-of-Funds at Thrift Institutions JO - American Real Estate and Urban Economics Association Journal JF - American Real Estate and Urban Economics Association Journal Y1 - 1992///Winter VL - 20 IS - 4 SP - 573 EP - 582 SN - 0092914X N1 - Accession Number: 0293566; Keywords: Thrift; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 199312 N2 - The purpose of this note is threefold. First, in addition to the well-known seasonal pattern to the eleventh-district cost-of-funds (COF), we document a twelve-month seasonal in the national median COF. Second, we demonstrate that the cause of seasonality in each of these COF series is due to the maladjustment of length-of-month effects. In particular, the eleventh-district COF is biased upwards in relatively short months while the national median is biased downward. Third, we show that the popular partial adjustment model for modeling the COF is misspecified. KW - Banks; Depository Institutions; Micro Finance Institutions; Mortgages G21 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0293566&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Nothaft, Frank E. AU - Wang, George H. K. T1 - Seasonal Variation in Cost-of-Funds at Thrift Institutions. JO - Journal of the American Real Estate & Urban Economics Association JF - Journal of the American Real Estate & Urban Economics Association Y1 - 1992///Winter92 VL - 20 IS - 4 M3 - Article SP - 573 EP - 582 PB - Wiley-Blackwell SN - 10678433 AB - The purpose of this note is threefold. First, in addition to the well-known seasonal pattern to the eleventh-district cost-of-funds (COF), we document a twelve-month seasonal in the national median COF. Second, we demonstrate that the cause of seasonality in each of these COF series is due to the maladjustment of length-of-month effects. In particular, the eleventh-district COF is biased upwards in relatively short months while the national median is biased downward. Third, we show that the popular partial adjustment model for modeling the COF is misspecified. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of the American Real Estate & Urban Economics Association is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - THRIFT institutions KW - FINANCIAL institutions KW - SAVING & investment KW - FINANCIAL management KW - REAL estate investment KW - REAL estate business N1 - Accession Number: 5918090; Nothaft, Frank E. 1; Wang, George H. K. 2,3; Affiliations: 1: Financial Research Department, Federal Home Loan Mortgage Corporation, McLean, Virginia 22102; 2: Economic Analysis Division, Commodity Futures Trading Commission, Washington, D.C. 20581; 3: School of Business Administration, George Mason University, Fairfax, Virginia 22030; Issue Info: Winter92, Vol. 20 Issue 4, p573; Thesaurus Term: THRIFT institutions; Thesaurus Term: FINANCIAL institutions; Thesaurus Term: SAVING & investment; Thesaurus Term: FINANCIAL management; Thesaurus Term: REAL estate investment; Thesaurus Term: REAL estate business; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 531210 Offices of Real Estate Agents and Brokers; NAICS/Industry Codes: 531212 Offices of real estate brokers; NAICS/Industry Codes: 531390 Other Activities Related to Real Estate; NAICS/Industry Codes: 531110 Lessors of Residential Buildings and Dwellings; NAICS/Industry Codes: 525990 Other Financial Vehicles; NAICS/Industry Codes: 523920 Portfolio Management; Number of Pages: 10p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5918090&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kuserk, Gregory J. AU - Locke, Peter R. AU - Sayers, Chera L. AD - Commodity Futures Trading Commission AD - Commodity Futures Trading Commission AD - U Houston T1 - The Effects of Amendments to Rule 80A on Liquidity, Volatility, and Price Efficiency in the S&P Futures JO - Journal of Futures Markets JF - Journal of Futures Markets Y1 - 1992/08// VL - 12 IS - 4 SP - 383 EP - 409 SN - 02707314 N1 - Accession Number: 0274850; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 199303 KW - Contingent Pricing; Futures Pricing; option pricing G13 L3 - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0274850&site=ehost-live&scope=site UR - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Chang, Eric C. AU - McQueen, Grant R. AU - Pinegar, J. Michael T1 - Tests of the nominal contracting hypothesis using stocks and bonds of the same firms. JO - Journal of Banking & Finance JF - Journal of Banking & Finance Y1 - 1992/06// VL - 16 IS - 3 M3 - Article SP - 477 EP - 496 SN - 03784266 AB - The relation between unexpected inflation and security prices has been investigated, however, recent attempts have produced conflicting evidence. In this article, the nominal contracting hypothesis is tested by looking at the impact of unexpected inflation on prices of stocks and long-term bonds issued by the same firms. Findings do not indicate that unexpected inflation transfers wealth to real from nominal contract holders, that is, from bondholders to stockholders. The authors propose an alternative interpretation, based on firms' asset rather than liability structures, of previous tests that seemingly support the nominal contracting hypothesis. This article suggests caution in ascribing to nominal contracts major intrafirm wealth redistribution due to inflation surprises. KW - INFLATION (Finance) KW - STOCKS (Finance) -- Prices KW - BONDS (Finance) -- Prices KW - STOCKHOLDERS KW - BONDHOLDERS KW - BUSINESS enterprises N1 - Accession Number: 11476460; Chang, Eric C. 1; McQueen, Grant R. 2; Pinegar, J. Michael 2; Affiliations: 1: Commodity Futures Trading Commission and University of Maryland, College Park, MD USA; 2: Brigham Young University, Provo, UT USA; Issue Info: Jun92, Vol. 16 Issue 3, p477; Thesaurus Term: INFLATION (Finance); Thesaurus Term: STOCKS (Finance) -- Prices; Thesaurus Term: BONDS (Finance) -- Prices; Thesaurus Term: STOCKHOLDERS; Thesaurus Term: BONDHOLDERS; Thesaurus Term: BUSINESS enterprises; Number of Pages: 20p; Illustrations: 5 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=11476460&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Nothaft, Frank E. AU - Wang, George H.K. T1 - Determinants of the ARM Share of National and Regional Lending. JO - Journal of Real Estate Finance & Economics JF - Journal of Real Estate Finance & Economics Y1 - 1992/06// VL - 5 IS - 2 M3 - Article SP - 219 EP - 234 SN - 08955638 AB - We model the ARM share of mortgage lending and provide several unique contributions to the mortgage choice literature. First, we motivate the use of the price spread between fixed- and adjustable-rate credit as a regressor by constraining the effect of FRM and ARM prices to be symmetric and show that the data support this restriction. Second, our data span a far longer time period (six years) than previous research. Third, we estimate separate share equations by region, allowing us to contrast geographic variation in ARM shares. Fourth, we examine the effect of convertible ARMs—which became prevalent in mid-1987-on overall ARM lending. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Real Estate Finance & Economics is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MORTGAGES KW - LOANS KW - PRICES KW - CREDIT control KW - FINANCE KW - adjustable-rate mortgage KW - mortgage choice KW - regional lending N1 - Accession Number: 17322430; Nothaft, Frank E. 1; Wang, George H.K. 2,3; Affiliations: 1: Financial Research Department, Federal Home Loan Mortgage Corporation, 8200 Jones Branch Drive, McLean, VA 22102.; 2: Economic Analysis Division, Commodity Futures Trading Commission, 2033 K Street, NW, Washington, DC 20581.; 3: Department of Finance, George Mason University, Fairfax, VA 22030.; Issue Info: Jun1992, Vol. 5 Issue 2, p219; Thesaurus Term: MORTGAGES; Thesaurus Term: LOANS; Thesaurus Term: PRICES; Thesaurus Term: CREDIT control; Thesaurus Term: FINANCE; Author-Supplied Keyword: adjustable-rate mortgage; Author-Supplied Keyword: mortgage choice; Author-Supplied Keyword: regional lending; NAICS/Industry Codes: 522390 Other Activities Related to Credit Intermediation; NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 522292 Real Estate Credit; NAICS/Industry Codes: 526913 Mortgage funds; Number of Pages: 16p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=17322430&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - CHAP AU - Gramm, Wendy L. AD - Commodity Futures Trading Commission A2 - Edwards, Franklin R. A2 - Patrick, Hugh T. T1 - Automation of the Financial Markets: Implications for Clearance, Settlement, and Payment Procedures T2 - Regulating international financial markets: Issues and policies PB - Norwell, Mass. and Dordrecht: PB - Kluwer Academic Y1 - 1992/// SP - 199 EP - 207 N1 - Accession Number: 0357029; Reviewed Book ISBN: 0-7923-9155-1; Keywords: Automation; Financial Markets; Publication Type: Collective Volume Article; Update Code: 199507 KW - Technological Change: Choices and Consequences; Diffusion Processes O33 KW - General Financial Markets: Government Policy and Regulation G18 KW - International Financial Markets G15 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0357029&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Crockett, John H. AU - Nothaft, Frank E. AU - Wang, George H. K. T1 - Temporal Relationships Among Adjustable-Rate Mortgage Indexes. JO - Journal of Real Estate Finance & Economics JF - Journal of Real Estate Finance & Economics Y1 - 1991/12// VL - 4 IS - 4 M3 - Article SP - 409 EP - 419 SN - 08955638 AB - This article investigates the linkage among six ARM indexes during the 1978-1989 period. Granger's direct causality test is used to examine their relationship within a rolling regression framework, The nonstationary properties of each index and selected pairs of indexes are investigated by using the unit root and cointegration tests. The empirical results confirmed their relationship has changed over this period and short-term rates lead the eleventh district cost-of-funds index. The implications of the empirical results from the perspectives of borrowers (ARM choice), leaden (pricing), and investors (security valuation) are also discussed. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Real Estate Finance & Economics is the property of Springer Science & Business Media B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - MORTGAGES KW - REGRESSION analysis KW - ECONOMETRICS KW - TIME series analysis KW - CAPITALISTS & financiers KW - DEBT-to-equity ratio KW - Adjustable-rate mortgage KW - Cointegration KW - Granger causaliry KW - Mortgage pricing N1 - Accession Number: 17324148; Crockett, John H. 1; Nothaft, Frank E. 2; Wang, George H. K. 3; Affiliations: 1: Department of Finance, School of Business Administration, George Mason University, Fairfax, Virginia 22030.; 2: Financial Research Department, Federal Home Loan Mortgage Corporation, 8200 Jones Branch Drive, McLean, Virginia, 22102.; 3: Economics Analysis Division, Commodity Futures Trading Commission, 2033 K Street, NW, Washington, DC 20581.; Issue Info: Dec1991, Vol. 4 Issue 4, p409; Thesaurus Term: MORTGAGES; Thesaurus Term: REGRESSION analysis; Thesaurus Term: ECONOMETRICS; Thesaurus Term: TIME series analysis; Thesaurus Term: CAPITALISTS & financiers; Thesaurus Term: DEBT-to-equity ratio; Author-Supplied Keyword: Adjustable-rate mortgage; Author-Supplied Keyword: Cointegration; Author-Supplied Keyword: Granger causaliry; Author-Supplied Keyword: Mortgage pricing; NAICS/Industry Codes: 522292 Real Estate Credit; NAICS/Industry Codes: 526913 Mortgage funds; Number of Pages: 11p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=17324148&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Gay, Gerald D. AU - Manaster, Steven AD - Commodity Futures Trading Commission AD - U UT T1 - Equilibrium Treasury Bond Futures Pricing in the Presence of Implicit Delivery Options JO - Journal of Futures Markets JF - Journal of Futures Markets Y1 - 1991/10// VL - 11 IS - 5 SP - 623 EP - 645 SN - 02707314 N1 - Accession Number: 0253191; Keywords: Options; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 199203 KW - Contingent Pricing; Futures Pricing; option pricing G13 L3 - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0253191&site=ehost-live&scope=site UR - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Gay, Gerald D. AU - Laux, Paul A. T1 - Microstructure Issues in Futures Markets. JO - Financial Practice & Education JF - Financial Practice & Education Y1 - 1991///Fall/Winter91 VL - 1 IS - 2 M3 - Article SP - 19 EP - 23 PB - Financial Management Association SN - 10820698 AB - This article informs that the U.S. futures industry faces many competitive challenges if it wishes to remain the global leader. These arise primarily from competition due to the proliferation of foreign futures markets and off-exchange instruments such as swaps and hybrids, and from the development of technology that fosters the mobility of trade, especially that of the institutional trader. The industry has traditionally responded to these challenges through the introduction of contracts that offer new risk-shifting opportunities. The traditional approach of introducing innovative products must be supplemented with a continual assessment of institutional arrangements and trading structures, that is issues pertaining to market microstructure. It is recommended that an approach that combines experimentation, flexibility and pragmatism must be adopted. And for the economist interested in doing research in market microstructure, futures markets provide a rich arena for investigation as well as an opportunity to contribute meaningfully to the formation of public policy. KW - FUTURES market KW - FUTURES KW - SECURITIES markets KW - DERIVATIVE securities KW - COMPETITION KW - UNITED States N1 - Accession Number: 9607266483; Gay, Gerald D. 1; Laux, Paul A. 2; Affiliations: 1: Chief Economist, Commodity Futures Trading Commission (CFTC) and Professor of Finance, Georgia State University.; 2: Financial Economist, CFTC and Assistant Professor of Finance, University of Texas - Austin.; Issue Info: Fall/Winter91, Vol. 1 Issue 2, p19; Thesaurus Term: FUTURES market; Thesaurus Term: FUTURES; Thesaurus Term: SECURITIES markets; Thesaurus Term: DERIVATIVE securities; Subject Term: COMPETITION; Subject: UNITED States; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 5p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9607266483&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kenyon, David AU - Bainbridge, Bruce AU - Ernst, Robin AD - VA Polytechnic Institute and State University AD - CO State U AD - Commodity Futures Trading Commission T1 - Impact of Cash Settlement on Feeder Cattle Basis JO - Western Journal of Agricultural Economics JF - Western Journal of Agricultural Economics Y1 - 1991/07// VL - 16 IS - 1 SP - 93 EP - 105 SN - 01621912 N1 - Accession Number: 0254583; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 199203 N2 - The feeder cattle futures contract specifications were changed in 1986 from physical delivery to cash settlement. The Chicago Mercantile Exchange expected this change to reduce basis variability and improve the ability of hedgers to predict basis. This study analyzes the basis for individual lots of feeder cattle before and after cash settlement. Basis equations were estimated by breed, sex, weight, grade, and season. These equations were used to predict basis. The results indicate basis variability was not reduced and hedger ability to forecast basis, in general, was not improved significantly under cash settlement compared to physical delivery. KW - Agricultural Markets and Marketing; Cooperatives; Agribusiness Q13 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0254583&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Gay, Gerald D. AU - Kale, Jayant R. AU - Noe, Thomas H. AD - US Commodity Futures Trading Commission AD - GA State U AD - GA State U T1 - Share Repurchase Mechanisms: A Comparative Analysis of Efficacy, Shareholder Wealth, and Corporate Control Effects JO - Financial Management JF - Financial Management Y1 - 1991///Spring VL - 20 IS - 1 SP - 44 EP - 59 SN - 00463892 N1 - Accession Number: 0551599; Keywords: Shareholder; Shares; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 200101 N2 - This paper compares the Dutch auction and transferable put rights (TPRs) share repurchase mechanisms to the traditional fixed-price tender offer in terms of efficiency, wealth transfers, and corporate control. Using Monte Carlo simulations, it is shown that both alternative mechanisms reduce the deadweight losses from inefficient tendering by ensuring that shareholders with the lowest reservation prices are bought out first. The TPR mechanism is further distinguished because it provides greater wealth gains to nontendering and smaller gains to exiting shareholders. The Dutch auction mechanism has an efficiency advantage over the TPR because it can be designed to eliminate the possibility of under-subscription and, furthermore, is also a more effective takeover deterrent. KW - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill G32 L3 - http://onlinelibrary.wiley.com/journal/10.1111/%28ISSN%291755-053X/issues UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0551599&site=ehost-live&scope=site UR - http://onlinelibrary.wiley.com/journal/10.1111/%28ISSN%291755-053X/issues DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Gay, Gerald D. AU - Kale, Jayant R. AU - Noe, Thomas H. T1 - Share Repurchase Mechanisms: A Comparative Analysis of Efficacy, Shareholder Wealth, and Corporate Control Effects. JO - FM: The Journal of the Financial Management Association JF - FM: The Journal of the Financial Management Association Y1 - 1991///Spring1991 VL - 20 IS - 1 M3 - Article SP - 44 EP - 59 PB - Financial Management Association SN - 10877827 AB - This article describes the advantages of the two innovations, dutch auction and TPR, over the traditional FPT offer. Capital markets monitor managers at a lower cost than other monitoring mechanisms. In models of asymmetric information, the management of the firm, because of its superior information, places a different value on the firm's assets than the less-informed market. In such a situation, initiating a share repurchase program can be a signal to the market of the management's more favorable information. However, even when there is no asymmetric information between the market and the insiders regarding the firm's cash flows it is possible that different shareholders may assign different values to the same stock. Differences in reservation prices could also be caused by shareholders having the same information regarding the firm's cash flow, but differing in their probability distributions over the firm's future prospects. In other words, some shareholders may simply be more optimistic than others. KW - AUCTIONS KW - STOCK repurchasing KW - CAPITAL market KW - CREDIT management KW - CASH flow KW - STOCKHOLDERS N1 - Accession Number: 9607291748; Gay, Gerald D. 1; Kale, Jayant R. 2; Noe, Thomas H. 2; Affiliations: 1: Chief Economist, Commodity Futures Trading Commission, Washington, DC.; 2: Assistant Professors of Finance, Georgia State University, Atlanta, GA.; Issue Info: Spring1991, Vol. 20 Issue 1, p44; Thesaurus Term: AUCTIONS; Thesaurus Term: STOCK repurchasing; Thesaurus Term: CAPITAL market; Thesaurus Term: CREDIT management; Thesaurus Term: CASH flow; Thesaurus Term: STOCKHOLDERS; NAICS/Industry Codes: 522390 Other Activities Related to Credit Intermediation; Number of Pages: 16p; Illustrations: 4 Charts; Document Type: Article; Full Text Word Count: 10846 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ent&AN=9607291748&site=ehost-live&scope=site DP - EBSCOhost DB - ent ER - TY - JOUR AU - Gay, Gerald D. AU - Kale, Jayant R. AU - Noe, Thomas H. T1 - Share Repurchase Mechanisms: A Comparative Analysis of Efficacy, Shareholder Wealth, and Corporate Control Effects. JO - FM: The Journal of the Financial Management Association JF - FM: The Journal of the Financial Management Association Y1 - 1991///Spring1991 VL - 20 IS - 1 M3 - Article SP - 44 EP - 59 PB - Financial Management Association SN - 10877827 AB - This article describes the advantages of the two innovations, dutch auction and TPR, over the traditional FPT offer. Capital markets monitor managers at a lower cost than other monitoring mechanisms. In models of asymmetric information, the management of the firm, because of its superior information, places a different value on the firm's assets than the less-informed market. In such a situation, initiating a share repurchase program can be a signal to the market of the management's more favorable information. However, even when there is no asymmetric information between the market and the insiders regarding the firm's cash flows it is possible that different shareholders may assign different values to the same stock. Differences in reservation prices could also be caused by shareholders having the same information regarding the firm's cash flow, but differing in their probability distributions over the firm's future prospects. In other words, some shareholders may simply be more optimistic than others. KW - AUCTIONS KW - STOCK repurchasing KW - CAPITAL market KW - CREDIT management KW - CASH flow KW - STOCKHOLDERS N1 - Accession Number: 9607291748; Gay, Gerald D. 1; Kale, Jayant R. 2; Noe, Thomas H. 2; Affiliations: 1: Chief Economist, Commodity Futures Trading Commission, Washington, DC.; 2: Assistant Professors of Finance, Georgia State University, Atlanta, GA.; Issue Info: Spring1991, Vol. 20 Issue 1, p44; Thesaurus Term: AUCTIONS; Thesaurus Term: STOCK repurchasing; Thesaurus Term: CAPITAL market; Thesaurus Term: CREDIT management; Thesaurus Term: CASH flow; Thesaurus Term: STOCKHOLDERS; NAICS/Industry Codes: 522390 Other Activities Related to Credit Intermediation; Number of Pages: 16p; Illustrations: 4 Charts; Document Type: Article; Full Text Word Count: 10846 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=9607291748&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Kuserk, Gregory J. AD - Commodity Futures Trading Commission T1 - Limit Moves and Price Resolution: The Case of the Treasury Bond Futures Market: A Comment JO - Journal of Futures Markets JF - Journal of Futures Markets Y1 - 1990/12// VL - 10 IS - 6 SP - 673 EP - 674 SN - 02707314 N1 - Accession Number: 0242664; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Journal Article; Update Code: 199106 L3 - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0242664&site=ehost-live&scope=site UR - http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291096-9934/issues DP - EBSCOhost DB - ecn ER - TY - GEN AU - Kurti, Peter AU - Fulwiler, Mark AU - Seale, Kieran AU - Smiley, Richard AU - Irwin, David AU - Sawaf, Hassan El AU - Yigit, Emre AU - Kilic, Altemur AU - Havrylyshyn, Oleh AU - Goldstein, I. S. AU - Ranis, Gustav AU - Hineman, Kalo AU - Hellmuth, Charles AU - Kamm, Oliver AU - Fairfull, Harold AU - Tabor, David T1 - LETTERS. JO - Economist JF - Economist Y1 - 1990/10/13/ VL - 317 IS - 7676 M3 - Letter SP - 6 EP - 8 SN - 00130613 AB - Presents a letter to the editor about a Russian joke. KW - WIT & humor KW - RUSSIAN humorous stories N1 - Accession Number: 10374154; Kurti, Peter Fulwiler, Mark Seale, Kieran Smiley, Richard Irwin, David Sawaf, Hassan El Yigit, Emre Kilic, Altemur Havrylyshyn, Oleh Goldstein, I. S. 1 Ranis, Gustav Hineman, Kalo 2 Hellmuth, Charles Kamm, Oliver Fairfull, Harold Tabor, David; Affiliation: 1: Department of the Interior, Washington, DC 2: Commissioner Commodity Futures Trading Commission, Washington, DC; Source Info: 10/13/1990, Vol. 317 Issue 7676, p6; Subject Term: WIT & humor; Subject Term: RUSSIAN humorous stories; Number of Pages: 2p; Document Type: Letter; Full Text Word Count: 2272 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=aph&AN=10374154&site=ehost-live&scope=site DP - EBSCOhost DB - aph ER - TY - JOUR AU - Carter, Richard AU - Manaster, Steven T1 - Initial Public Offerings and Underwriter Reputation. JO - Journal of Finance JF - Journal of Finance Y1 - 1990/09// VL - 45 IS - 4 M3 - Article SP - 1045 EP - 1067 PB - Wiley-Blackwell SN - 00221082 AB - This paper examined the returns earned by subscribing to initial public offerings of equity (IPOs). Rock (1986) suggests that IPO returns are required by uninformed investors as compensation for the risk of trading against superior information. We show that IPOs with more informed investor capital require higher returns. The marketing underwriter's reputation reveals the expected level of "informed" activity. Prestigious underwriters are associated with lower risk offerings. With less risk there is less incentive to acquire information and fewer informed investors. Consequently, prestigious underwriters are associated with IPOs that have lower returns. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Finance is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - RATE of return KW - CORPORATIONS -- Finance KW - GOING public (Securities) KW - CAPITAL market KW - BUSINESS enterprises KW - EQUILIBRIUM (Economics) KW - CAPITALISTS & financiers KW - INSURANCE KW - SECONDARY markets KW - PUBLIC companies KW - MARKET equilibrium KW - REPUTATION (Sociology) N1 - Accession Number: 4649539; Carter, Richard 1; Manaster, Steven 2; Affiliations: 1: College of Business Administration, Iowa State University.; 2: Commodity Futures Trading Commission, Division of Economic Analysis; Issue Info: Sep90, Vol. 45 Issue 4, p1045; Thesaurus Term: RATE of return; Thesaurus Term: CORPORATIONS -- Finance; Thesaurus Term: GOING public (Securities); Thesaurus Term: CAPITAL market; Thesaurus Term: BUSINESS enterprises; Thesaurus Term: EQUILIBRIUM (Economics); Thesaurus Term: CAPITALISTS & financiers; Thesaurus Term: INSURANCE; Thesaurus Term: SECONDARY markets; Thesaurus Term: PUBLIC companies; Thesaurus Term: MARKET equilibrium; Subject Term: REPUTATION (Sociology); NAICS/Industry Codes: 522291 Consumer Lending; NAICS/Industry Codes: 524298 All Other Insurance Related Activities; NAICS/Industry Codes: 525190 Other Insurance Funds; NAICS/Industry Codes: 524292 Third Party Administration of Insurance and Pension Funds; NAICS/Industry Codes: 522294 Secondary Market Financing; Number of Pages: 23p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4649539&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - CHAP AU - Wang, George H. K. AD - Commodity Futures Trading Commission and George Mason U A2 - Fabozzi, Frank J. T1 - Empirical Analysis of the Liquidity of the S&P 500 Index Futures Market during the October 1987 Market Break T2 - Advances in futures and options research. Volume 4 PB - A Research Annual PB - Greenwich, Conn. and London: PB - JAI Press Y1 - 1990/// SP - 191 EP - 218 N1 - Accession Number: 0280988 Partial authors List; ; Reviewed Book ISBN: 1-55938-060-8; ; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Collective Volume Article; Update Code: 199306 KW - Capital Markets--Empirical Studies, Including Regulation 3132 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0280988&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - CHAP AU - Tosini, Paula AD - Commodity Futures Trading Commission A2 - MacKay, Robert J. T1 - After the Crash: Linkages between Stocks and Futures: Regulatory Issues T2 - After the crash: Linkages between stocks and futures PB - AEI Studies, no. 477. PB - Washington, D.C.: PB - American Enterprise Institute for Public Policy Research; distributed by University Press of America, Lanham, Md. Y1 - 1988/// SP - 45 EP - 47 N1 - Accession Number: 0034514; Geographic Descriptors: U.S.; Geographic Region: Northern America; Publication Type: Collective Volume Article; Update Code: 199112 KW - Capital Markets--Empirical Studies, Including Regulation 3132 KW - Economics of Regulation 6190 UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0034514&site=ehost-live&scope=site DP - EBSCOhost DB - ecn ER - TY - JOUR AU - Tosini, Paula A. T1 - Stock index futures and stock market activity in October 1987. JO - Financial Analysts Journal JF - Financial Analysts Journal Y1 - 1988/01//Jan/Feb1988 VL - 44 IS - 1 M3 - Article SP - 28 PB - CFA Institute SN - 0015198X AB - A Securities and Exchange Commission staff study of the stock market decline of September 11-12, 1986, attributed it to changes in fundamental economic perceptions; strategies involving stock index futures, the SEC found, contributed little to the magnitude of the decline, although they may have condensed the time period over which it occurred. But what of the much larger market decline of October 19? Of the firms in the Commodity Futures Trading Commission's large-trader reporting system, 12 broker/dealers and four portfolio insurers could be identified as principal futures market traders on October 19 and adjacent days; these 16 firms accounted for almost all stock index arbitrage and portfolio hedging by customers during the mid-October period. Data from them indicate that index arbitrage accounted for approximately 9 per cent of the NYSE's volume on October 19. Portfolio insurance strategies accounted for 12 to 24 per cent of short-side volume in S&P 500 futures contracts on October 19; as such strategies do not involve related trading on the NYSE, these date are not expressed in terms of NYSE volume. The CFTC is currently looking at the quantity and timing of arbitrage and portfolio insurance trading during the period surrounding October 19; the intraday level of stock and futures prices and the cash-futures basis; any evidence of a "cascade effect", whereby futures market trading exacerbated stock market volatility; and the liquidity of futures markets. [ABSTRACT FROM AUTHOR] AB - Copyright of Financial Analysts Journal is the property of CFA Institute and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - STOCK index futures KW - STOCK Market Crash, 1987 KW - PORTFOLIO management (Investments) KW - INSURANCE KW - FUTURES market KW - NEW York Stock Exchange N1 - Accession Number: 6936183; Tosini, Paula A. 1,2; Affiliations: 1: Director, Division of Economic Analysis, Commodity Futures Trading Commission.; 2: Lecturer, University of Maryland, College Park.; Issue Info: Jan/Feb1988, Vol. 44 Issue 1, p28; Thesaurus Term: STOCK index futures; Thesaurus Term: STOCK Market Crash, 1987; Thesaurus Term: PORTFOLIO management (Investments); Thesaurus Term: INSURANCE; Thesaurus Term: FUTURES market ; Company/Entity: NEW York Stock Exchange; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 524298 All Other Insurance Related Activities; NAICS/Industry Codes: 525190 Other Insurance Funds; NAICS/Industry Codes: 524292 Third Party Administration of Insurance and Pension Funds; NAICS/Industry Codes: 523920 Portfolio Management; Number of Pages: 10p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6936183&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Barnhill, Theodore M. AU - Jordan, James V. AU - Scale, William E. T1 - MATURITY AND REFUNDING EFFECTS ON TREASURY-BOND FUTURES PRICE VARIANCE. JO - Journal of Financial Research JF - Journal of Financial Research Y1 - 1987///Summer87 VL - 10 IS - 2 M3 - Article SP - 121 PB - Wiley-Blackwell SN - 02702592 AB - Both Samuelson's maturity hypothesis and the Anderson-Danthine state variable hypothesis are tested in this study of the variance of Treasury-bond futures prices. Both maturity and the quarterly refunding of Treasury debt have statistically and economically significant effects on futures price variance. The evidence for a monotonic maturity effect is highly statistically significant and robust to changes in model specification. The quarterly refunding is less statistically significant, and it is not clear whether the greatest effect is in the auction week or two weeks thereafter. Economically, these two predictable effects are of greater importance than a change in the discount rate. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Financial Research is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - GOVERNMENT securities KW - FUTURES KW - PRICE variance KW - PRICES KW - BONDS (Finance) KW - DISCOUNT KW - STATISTICS N1 - Accession Number: 5382409; Barnhill, Theodore M. 1; Jordan, James V. 2; Scale, William E. 3; Affiliations: 1: George Washington University.; 2: Virginia Polytechnic Institute and State University.; 3: Commodity Futures Trading Commission.; Issue Info: Summer87, Vol. 10 Issue 2, p121; Thesaurus Term: GOVERNMENT securities; Thesaurus Term: FUTURES; Thesaurus Term: PRICE variance; Thesaurus Term: PRICES; Thesaurus Term: BONDS (Finance); Thesaurus Term: DISCOUNT; Thesaurus Term: STATISTICS; Number of Pages: 11p; Illustrations: 3 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=5382409&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - JORDAN, JAMES V. T1 - Tax Effects in Term Structure Estimation. JO - Journal of Finance JF - Journal of Finance Y1 - 1984/06// VL - 39 IS - 2 M3 - Article SP - 393 EP - 406 PB - Wiley-Blackwell SN - 00221082 AB - This study is a refinement and an extension of an earlier study by McCulloch of tax effects in the regression equation for term structure estimation. This study includes tests for tax effects and heteroskedasticity, a reconsideration of the need for an instrumental variable, and a search for the capital gains tax rate in addition to the ordinary-income tax rate. There are two major findings: (1) statistically significant tax-induced bias in the non-tax-adjusted equation and (2) evidence that the capital gains tax is misspecified in the tax-adjusted equation. [ABSTRACT FROM AUTHOR] AB - Copyright of Journal of Finance is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) KW - CAPITAL gains tax KW - REGRESSION analysis KW - INCOME tax KW - TAX rates & tables KW - INTEREST rates KW - INVESTMENTS -- Taxation KW - ANALYSIS of variance KW - ECONOMETRICS KW - SECURITIES -- Taxation KW - LINEAR programming KW - EQUILIBRIUM (Economics) KW - HETEROSCEDASTICITY N1 - Accession Number: 4653150; JORDAN, JAMES V. 1; Affiliations: 1: Commodity Futures Trading Commission.; Issue Info: Jun84, Vol. 39 Issue 2, p393; Thesaurus Term: CAPITAL gains tax; Thesaurus Term: REGRESSION analysis; Thesaurus Term: INCOME tax; Thesaurus Term: TAX rates & tables; Thesaurus Term: INTEREST rates; Thesaurus Term: INVESTMENTS -- Taxation; Thesaurus Term: ANALYSIS of variance; Thesaurus Term: ECONOMETRICS; Thesaurus Term: SECURITIES -- Taxation; Thesaurus Term: LINEAR programming; Thesaurus Term: EQUILIBRIUM (Economics); Subject Term: HETEROSCEDASTICITY; NAICS/Industry Codes: 523930 Investment Advice; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; NAICS/Industry Codes: 523120 Securities Brokerage; Number of Pages: 14p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4653150&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Phillips, Susan M. AU - Tosini, Paula A. T1 - A Comparison of Margin Requirements for Options and Futures. JO - Financial Analysts Journal JF - Financial Analysts Journal Y1 - 1982/11//Nov/Dec82 VL - 38 IS - 6 M3 - Article SP - 54 EP - 58 PB - CFA Institute SN - 0015198X AB - The article compares margin requirements for stock options and futures in the U.S. The Federal Reserve Board regulates margins on stock options, while the Commodity Futures Trading Commission regulates the future exchanges. In contrast to stock option margin requirements, the levels of initial and maintenance margins for futures contracts are set by the future exchanges and their clearinghouses. Also, the value of the futures contract is zero when it is opened. The article also compares the cash flows for options and futures. KW - MARGIN accounts KW - MARGIN requirements KW - STOCK options KW - FUTURES KW - MARGINS (Security trading) KW - FUTURES market KW - CASH flow KW - UNITED States N1 - Accession Number: 6935892; Phillips, Susan M. 1; Tosini, Paula A. 2; Affiliations: 1: Associate Professor of Finance at The University of Iowa and a Commissioner of the Commodity Futures Trading Commission; 2: Director of the Research Unit of the Commodity Futures Trading Commission; Issue Info: Nov/Dec82, Vol. 38 Issue 6, p54; Thesaurus Term: MARGIN accounts; Thesaurus Term: MARGIN requirements; Thesaurus Term: STOCK options; Thesaurus Term: FUTURES; Thesaurus Term: MARGINS (Security trading); Thesaurus Term: FUTURES market; Thesaurus Term: CASH flow; Subject: UNITED States; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 523110 Investment Banking and Securities Dealing; Number of Pages: 5p; Illustrations: 2 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6935892&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Moriarty, Eugene AU - Phillips, Susan AU - Tosini, Paula T1 - A Comparison of Options and Futures in the Management of Portfolio Risk. JO - Financial Analysts Journal JF - Financial Analysts Journal Y1 - 1981/01//Jan/Feb1981 VL - 37 IS - 1 M3 - Article SP - 61 PB - CFA Institute SN - 0015198X AB - The article analyzes financial attributes of options and futures as traded on U.S. exchanges. Taking a position in a derivative market that represents a substitute for a transaction to be made at a later date can be accomplished with either futures or options. But a single futures position can neutralize exposure in the underlying asset. So long as there remains sufficient demand for the specialized functions each serves, it is unlikely that options will dominate futures, or vice versa, even if both are traded on the same underlying assets. A futures contract represents an obligation to make or take a delivery of a specified quantity and quality of an underlying asset at a particular time in the future and at a price agreed upon when the contract was originated. The option market separates the buyer's upside and downside risk. The purchase of a call retains upside profit opportunities. There is no comparable limitation on the risk inherent in writing an option. The net profit on a purchased call equals the underlying asset's increase above the option's exercise price minus the option premium. KW - FUTURES market KW - INVESTMENTS KW - OPTIONS (Finance) KW - DERIVATIVE securities KW - CAPITALISTS & financiers KW - UNITED States N1 - Accession Number: 6657230; Moriarty, Eugene 1; Phillips, Susan 2,3; Tosini, Paula 4; Affiliations: 1: Economist, Commodity Futures Trading Commission.; 2: Associate Vice President of Finance.; 3: University Services and Associate Professor of Finance, University of Iowa.; 4: Heads, Research Unit, Commodity Futures Trading Commission.; Issue Info: Jan/Feb1981, Vol. 37 Issue 1, p61; Thesaurus Term: FUTURES market; Thesaurus Term: INVESTMENTS; Thesaurus Term: OPTIONS (Finance); Thesaurus Term: DERIVATIVE securities; Thesaurus Term: CAPITALISTS & financiers; Subject: UNITED States; NAICS/Industry Codes: 523210 Securities and Commodity Exchanges; NAICS/Industry Codes: 523999 Miscellaneous Financial Investment Activities; NAICS/Industry Codes: 523930 Investment Advice; Number of Pages: 7p; Illustrations: 4 Charts; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=6657230&site=ehost-live&scope=site DP - EBSCOhost DB - buh ER - TY - JOUR AU - Seevers, Gary L. T1 - Food markets and their regulation. JO - International Organization JF - International Organization Y1 - 1978///Summer78 VL - 32 IS - 3 M3 - Article SP - 721 SN - 00208183 AB - The article evaluates how international food markets function in general, and then with regard to grains, in particular. There are as many criteria to evaluate a food market as there are possible values that such a market could satisfy or frustrate. Analysis here focuses upon three important performance criteria or objectives of the world food system--efficiency, stability, and equity. The achievement of these objectives is influenced by food markets along with other features of the world food regime. The production of food and its distribution to consumers should be accomplished with the least possible use of resources. If allocated otherwise, resources will be wasted because some could have been devoted to additional food production or more of something else of value. This "efficiency" objective should be considered not only at the moment, but also overtime. Food should be produced, distributed, and consumed without undue and extreme fluctuations of a transitory nature. Food should be distributed so that a measure of fairness is attained, not solely in shortfall years, but on a continuing basis. An absolute achievement of this objective would require everyone to receive equal amounts of nutrients from their food intake. KW - FOOD industry KW - FOOD law & legislation KW - INTERNATIONAL trade KW - GRAIN KW - EXPORT marketing KW - FOOD production KW - Influences of other nations on national decisions KW - INTERNATIONAL LAW, ECONOMICS, AND DIPLOMACY KW - Oil and other commodities or resources N1 - Accession Number: 5387478; Seevers, Gary L. 1; Affiliations: 1 : Commissioner on the Commodity Futures Trading Commission.; Source Info: Summer78, Vol. 32 Issue 3, p721; Subject Term: FOOD industry; Subject Term: FOOD law & legislation; Subject Term: INTERNATIONAL trade; Subject Term: GRAIN; Subject Term: EXPORT marketing; Subject Term: FOOD production; Author-Supplied Keyword: Influences of other nations on national decisions; Author-Supplied Keyword: INTERNATIONAL LAW, ECONOMICS, AND DIPLOMACY; Author-Supplied Keyword: Oil and other commodities or resources; Number of Pages: 23p; Document Type: Article UR - https://auth.lib.unc.edu/ezproxy_auth.php?url=http://search.ebscohost.com/login.aspx?direct=true&db=24h&AN=5387478&site=ehost-live&scope=site DP - EBSCOhost DB - 24h ER -