User profiles for Louis H Ederington
Louis EderingtonUniversity of Oklahoma Verified email at ou.edu Cited by 10088 |
The hedging performance of the new futures markets
LH Ederington - The journal of finance, 1979 - JSTOR
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 …
futures markets: corn and wheat. The portfolio theory also provides a method for measuring …
How markets process information: News releases and volatility
LH Ederington, JH Lee - The Journal of Finance, 1993 - Wiley Online Library
We examine the impact of scheduled macroeconomic news announcements on interest rate
and foreign exchange futures markets. We find these announcements are responsible for …
and foreign exchange futures markets. We find these announcements are responsible for …
Is a bond rating downgrade bad news, good news, or no news for stockholders?
JC Goh, LH Ederington - The journal of finance, 1993 - Wiley Online Library
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 …
studies find a significant negative stock response to downgrades, we argue that this reaction …
Bond rating agencies and stock analysts: who knows what when?
LH Ederington, JC Goh - Journal of Financial and Quantitative …, 1998 - cambridge.org
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 …
communicate their opinions to investors. Comparing the timeliness of each, we find that Granger …
The informational content of bond ratings
LH Ederington, JB Yawitz… - Journal of Financial …, 1987 - Wiley Online Library
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 …
industrial bonds indicate that market participants base their evaluations of a bond issue's default …
The short-run dynamics of the price adjustment to new information
LH Ederington, JH Lee - Journal of Financial and Quantitative …, 1995 - cambridge.org
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. …
new information contained in scheduled macroeconomic news releases in the very short run. …
The creation and resolution of market uncertainty: the impact of information releases on implied volatility
LH Ederington, JH Lee - Journal of Financial and Quantitative …, 1996 - cambridge.org
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 …
by the implied standard deviation (ISD) from option markets. Distinguishing between …
Cross-sectional variation in the stock market reaction to bond rating changes
JC Goh, LH Ederington - The Quarterly Review of Economics and Finance, 1999 - Elsevier
Previous research has found that the stock market reacts negatively to bond rating downgrades
and that downgrades tend to follow periods of negative returns, indicating that at least …
and that downgrades tend to follow periods of negative returns, indicating that at least …
Why split ratings occur
LH Ederington - Financial Management, 1986 - JSTOR
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 …
possibilities are considered: (i) Moody's and Standard and Poor's have somewhat different …
Forecasting volatility
LH Ederington, W Guan - Journal of Futures Markets: Futures …, 2005 - Wiley Online Library
The forecasting ability of the most popular volatility forecasting models is examined and an
alternative model developed. Existing models are compared in terms of four attributes: (1) the …
alternative model developed. Existing models are compared in terms of four attributes: (1) the …