Results: Loss from delay on cash market $1250 Gain on futures market 1063 Net Loss$ 187
futures markets: corn and wheat. The portfolio theory also provides a method for measuring …

We examine the impact of scheduled macroeconomic news announcements on interest rate
and foreign exchange futures markets. We find these announcements are responsible for …

We examine the reaction of common stock returns to bond rating changes. While recent
studies find a significant negative stock response to downgrades, we argue that this reaction …

Both bond rating agencies and stock analysts evaluate publicly traded companies and
communicate their opinions to investors. Comparing the timeliness of each, we find that Granger …

This paper explores the risk structure of interest rates. The focus is on whether yields on
industrial bonds indicate that market participants base their evaluations of a bond issue's default …

We examine how prices in interest rate and foreign exchange futures markets adjust to the
new information contained in scheduled macroeconomic news releases in the very short run. …

We review a large body of the empirical literature focusing on the relation between petroleum
product prices and oil prices and discuss the evidence on the direction of causality …

We model and examine the impact of information releases on market uncertainty as measured
by the implied standard deviation (ISD) from option markets. Distinguishing between …

This paper explores the reasons for split ratings on new industrial bond issues. Three
possibilities are considered: (i) Moody's and Standard and Poor's have somewhat different …

… In order to f<+cus on downgrades which are bad news for stockholders as well as bondholders,
we follow (;oh atnd Ederington (1993) and construct a sttb-s;.tmple consisting <rely of …