This article investigates the predictive power of popular market‐based sentiment measures
for subsequent returns on the Standard & Poor’s (S&P) 500 futures contract over 10‐day, 20‐…

This paper examines the behavior of the Nasdaq 100 Volatility Index (VXN), constructed by
the Chicago Board Options Exchange to reflect the implied volatility of near-term, at the …

This article finds that deviations of the soybean crush spread from its long‐run equilibrium
were transitory during the sample period from January 1985 through February 1995. This …

This paper uses a bivariate GARCH framework to examine the lead‐lag relations and the
conditional correlations between 10‐year US government bond returns and their counterparts …

This study examines the Treasury's experiment with single-price bond auctions in the mid-1970s
and finds that controlling for factors unrelated to auction technique, markups of auction …

This study uses intraday when-issued rate quotes to examine the rewards and risks of the
Treasury coupon auctions for bidders who face different tradeoffs between the winner's curse …

This paper shows that the spread between the 3–month Treasury bill and the federal funds
rate has significant predictive power for the future change in the federal funds rate during the …

This paper examines cash management bill announcements in an event study framework
and finds that segmentation in the Treasury bill market is widespread and not limited to bills …

This paper examines rational expectations in the Treasury bill market from 1961 to 1988
with a risk premium specified to be proportional to the volatility of excess returns using …

This paper shows that differences in supplies of 13- and 12-week Treasury bills have statistically
significant and economically meaningful effects on their yield differentials from January …