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Market liquidity and trader welfare in multiple dealer markets: evidence from dual trading restrictions
Locke, Peter; Sarkar, Asani; Wu, Lifan (1997)
Dual trading is the practice whereby futures floor traders execute trades both for their own and customers' accounts on the same day. We provide evidence, in the context of restrictions on dual trading, that aggregate liquidity measures, such as the average bid-ask spread, may be misleading indicators of traders' welfare in markets with multiple, heterogeneously skilled dealers. In our theoretical model, hedgers and informed customers trade through futures floor traders of different skill levels: more skilled floor traders attract more hedgers to trade. We show that customers' welfare and ...
Research Paper , Paper 9721

Working Paper
A strategic approach to hedging and contracting
Nosal, Ed; Downie, David (2001)
This paper provides a new rationale for hedging that is based partly on noncompetitive behavior in product markets. The authors identify a set of conditions that imply that a firm may want to hedge. Empirically, these conditions are consistent with what is observed in the marketplace. The conditions are: 1) firms have some market power in their product market; 2) firms have limited liability; and 3) firms can contract to sell their output at a specified price before all factors that can affect their profitability are known. For some parameter specifications, however, the model predicts that ...
Working Papers (Old Series) , Paper 0119

Working Paper
Portfolio insurance with stock index futures
Merrick, John J. (1987)
Working Papers , Paper 87-13

Working Paper
Transaction costs and option configuration
Shaffer, Sherrill (1989)
Working Papers , Paper 89-18

Journal Article
Hedging bank borrowing costs with financial futures
Smirlock, Michael (1986-05)
Business Review , Issue May , Pages 13-23

Working Paper
Do nonfinancial firms use interest rate derivatives to hedge?
Covitz, Daniel M.; Sharpe, Steven A. (2005)
We compile and analyze detailed information on the debt structure and interest rate derivative positions of nonfinancial firms in 2000 and 2002. We find that differences in debt structure across firms and time tend to be counterbalanced by difference in derivative positions. In particular, among derivative users, smaller firms tend to have relatively more interest rate exposure from liabilities than larger firms and tend to use derivatives that offset these exposures. Larger firms also tend to limit their interest rate exposures, but they do so through their choice of debt structure rather ...
Finance and Economics Discussion Series , Paper 2005-39

Journal Article
Financial futures for banks
Bennett, Barbara (1983)
FRBSF Economic Letter

Journal Article
Is exchange risk hedgable?
Plaut, Steven (1987)
FRBSF Economic Letter

Journal Article
Hedging the risk
Atz, Michael (2000-07)
Emerging Issues , Issue Jul

Working Paper
Jump starting GARCH: pricing and hedging options with jumps in returns and volatilities
Sun, Zhiqiang; Duan, Jin-Chuan; Ritchken, Peter H. (2006)
This paper considers the pricing of options when there are jumps in the pricing kernel and correlated jumps in asset returns and volatilities. Our model nests Duan?s GARCH option models, where conditional returns are constrained to being normal, as well as mixed jump processes as used in Merton. The diffusion limits of our model have been shown to include jump diffusion models, stochastic volatility models and models with both jumps and diffusive elements in both returns and volatilities. Empirical analysis on the S&P 500 index reveals that the incorporation of jumps in returns and ...
Working Papers (Old Series) , Paper 0619

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