ABSTRACT GNMA mortgage‐backed pass‐through securities are supported by pools of
amortizing, callable loans. Additionally, mortgagors often prepay their loans when the …

The global value of trading in index futures is about $20 trillion per year and rising and for
many countries the value traded is similar to that traded on their stock markets. This book …

This study estimates and compares the hedge ratios of the conventional and the error
correction models using Japan's Nikkei Stock Average (NSA) index and the NSA index …

A long-standing asset pricing puzzle is that the funding rates in derivatives contracts often
differ from those in cash markets. We propose that the cost of renting intermediary balance …

Based on the belief that 'what goes up must come down'and that investors overreact to
information, contrarian strategies recommend buying past losers and selling past winners to …

We propose new tests to examine whether stock index futures affect stock market volatility.
These tests decompose spot portfolio volatility into the cross-sectional dispersion and the …

INTRADAY RETURN DYNAMICS BETWEEN THE CASH AND THE FUTURES MARKETS IN
JAPAN Page 1 INTRADAY RETURN DYNAMICS BETWEEN THE CASH AND THE FUTURES …

This article examines the performance of various hedge ratios estimated from different
econometric models: The FIEC model is introduced as a new model for estimating the hedge …

Previous tests of stock index arbitrage models have rejected the no-arbitrage constraint
imposed by these models. This paper provides a detailed analysis of actual S&P 500 …

This paper studies the impact of foreign investment on domestic financial markets. In
particular, it examines the empirical validity of some protectionist claims used by regulators …