Diss. Stockholm : Handelshögsk.

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While most of the literature on asset pricing examines the cross section of stock and bond returns, little attention has been devoted to the analyse of the trade-off between risk and return in futures markets. Since, alike stocks and bonds, futures contracts qualify as investments on their own, the purpose of this thesis is to remedy this problem by addressing three issues related to the unconditional and conditional cross section of expected futures returns. Chapter II investigates the presence of a futures risk premium and, ultimately, the validity of the normal backwardation theory in the context of constant expected return asset pricing models and argues that the inconsistency in the literature stems from methodology problems that might result in incorrect inferences regarding the applicability of the normal backwardation theory. With methodologies free from these problems, we show that, while producers and processors of agricultural commodities transfer their risk to one another at no cost, hedgers are willing to pay a premium to induce speculators to enter financial and metal futures markets. Chapter III looks at the integration between the futures and underlying asset markets. While we fail to reject the hypothesis that the prices of systematic risk in futures markets are equal to those in the underlying currency and equity markets, we present new results that the futures and commodity spot markets are segmented. Such results are of primary importance to investors who use constant expected return asset pricing models to adjust the risk-return trade-off of their portfolio and evaluate portfolio performance. The remainder of the thesis investigates the degree of efficiency with which futures contracts are priced. Since futures returns are predictable using information available at time t-1, the purpose of chapters IV, V. and VI is to analyse whether the variation in expected futures returns reflects rational pricing in an efficient market or is the result of weak-form market inefficiency. In this respect, chapter IV investigates the profitability of a trading rule based on available information and concludes that the implemented investment strategy does not generate any abnormal return on a risk and transaction cost adjusted basis. Chapter V looks at the link between the time-varying futures risk premia and the economy and demonstrates that the information variables predict futures returns because of their ability to proxy for change in the business cycle. Finally, chapter VI makes use of time-varying asset pricing models to analyse the relationship between the predictable movements in futures returns and the conditional cross section of expected futures returns. The results indicate that conditional versions of asset pricing models capture most of the predictable movements in futures returns. Hence the predictability of futures returns seem to mirror the change in the consumption-investment opportunity set over time. Chapters V and VI also raise some interesting observations that have not been evidenced to date in the literature on predictability. First, the time-variation in the expected returns of currency and agricultural commodity futures is not consistent with the evidence from the stock and bond markets and with traditional theoretical explanations of the trade-off between risk and expected return. Second, chapter VI demonstrates that shift in the sensitivities of futures returns to the constant prices of covariance risk accounts for most of the predictable movements in futures returns. This result is somehow surprising since the change in the prices of risk is the main source of predictability in the stock and bond markets.

The online market has developed into an equally strong competitor to the offline market. This study examines the market efficiency of the U.S. online and offline market based on the price level, price dispersion, price elasticity and menu cost. A direct comparison of all four market efficiency criteria based on empirical results is not discussed in the literature. Here, the empirical study analyzes and compares the online and offline prices of electronic products between the two largest retailers, Amazon and Walmart. The results clearly indicate that the online market is more efficient than the offline market. Comparing the online prices between the multichannel retailer Walmart and the pure online retailer Amazon we find that for 64.5% of the electronic products, Amazon has the better offer. While 26% of the prices are identical and only 9.5% of the overall prices offered by Walmart are lower. The price advantage of Amazon is explained by the strong price linkage between the online shop and the less efficient offline shop within the retailer Walmart. In 73% of the examined prices, the online and offline prices at Walmart are identical. Furthermore, this price linkage causes a high price dispersion of 14.7% between the online shops of the two retailers. As soon as Walmart breaks the price linkage through sales offers in their online shop, the price dispersion between the two retailers drops to 10.2%.

Midwest Independent Transmission System Operator, Inc. (MISO) is a non-profit regional transmission organization (RTO) that oversees electricity production and transmission across thirteen states and one Canadian province. MISO also operates an electronic exchange for buying and selling electricity for each of its five regional hubs. MISO oversees two types of markets. The forward market, which is referred to as the day-ahead (DA) market, allows market participants to place demand bids and supply offers on electricity to be delivered at a specified hour the following day. The equilibrium price, known as the locational marginal price (LMP), is determined by MISO after receiving sale offers and purchase bids from market participants. MISO also coordinates a spot market, which is known as the real-time (RT) market. Traders in the real-time market must submit bids and offers by thirty minutes prior to the hour for which the trade will be executed. After receiving purchase and sale offers for a given hour in the real time market, MISO then determines the LMP for that particular hour. The existence of the DA and RT markets allows producers and retailers to hedge against the large fluctuations that are common in electricity prices. Hedge ratios on the MISO exchange are estimated using various techniques. No hedge ratio technique examined consistently outperforms the unhedged portfolio in terms of variance reduction. Consequently, none of the hedge ratio methods in this study meet the general interpretation of FASB guidelines for a highly effective hedge. One of the major goals of deregulation is to bring about competition and increased efficiency in electricity markets. Previous research suggests that electricity exchanges may not be weak-form market efficient. A simple moving average trading rule is found to produce statistically and economically significant profits on the MISO exchange. This could call the long-term survivability of the MISO exchange into question.

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acase@tulane.edu / The relationship between microstructure, efficiency and data frequency give us a new opportunity to test information (e.g. events and news) efficiency assimilation for Mexican ADRs and their underlying Bolsa Mexicana de Valores (BMV) stocks It also allows to corroborate whether in emerging markets, specifically in the Mexican market, insider trading could be present but it may not be necessarily detected by market efficiency tools only. Using a proprietary dataset of Mexican Stock Exchange (Mexican Bolsa) intraday prices for underlying stocks and their respective Type II and III ADRs quoted in NASDAQ, AMEX and New York Stock Exchange, time series analysis related to price dynamics and event studies methodologies were applied. Non-linearity of the prices was tested, finding no statistical evidence of such behavior, which led to conclude linearity in them. Volatility transmission was also analyzed, finding that external shock can impact both markets having a recursive behavior; shocks in Mexican market has an impact also in American Market and vice versa. Using a standard Event Studies methodology we tested for nine different corporate events (dividends, changes in capital structure, acquisitions, mergers, takeovers, spin offs, sell offs, joint ventures and privatizations) and seven different classes of stocks in both markets, looking for parallelism in cumulative abnormal returns, volatility, trade volume and Granger causality. The results are a statistically significant behavior similar in both markets (for both CARs and volatility). The evidence of Granger-causality in ADR / underlying stock was detected in both ways: underlying stocks Granger cause the ADRs and vice versa. The results corroborate a non-arbitrage behavior in both markets and no evidence of insider trading in ADRs / underlying stocks in both markets / 1 / Polux E. Diaz Ruiz

Some corporate insiders hold insider equity holdings in multiple companies (portfolio insiders). I hypothesize that information can be garnered not only from their trades (e.g., an insider sale of firm A on day t), but from their not-traded securities (e.g. the insider's decision not to sell firms B and C on day t). Specifically, an insider's decision not to sell (purchase) security B at the time of the sale (purchase) of security A, is a positive (negative) signal for security B, the not-sold (not-bought) security. The paper presents three major empirical findings. First, portfolio insider not-sold securities following a sale earn large risk-adjusted returns outperforming the not-purchased securities following a purchase. Second, portfolio insiders' purchases are more informative than single-firm insiders' purchases. Finally, the results suggest that abnormal returns associated with insider purchases result from markets reacting to the revelation of the insider purchase while abnormal returns associated with not-sold securities appear to result from insiders delaying sales prior to positive firm-specific events.

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