Robert C. Klemkosky

The Impact of Option Expirations on Stock Prices

One of the innovative and successful new markets developed in recent years has been the registered exchange for the trading of option contracts. Key innovations provided by the option exchanges include the standardization of some contractual terms and the creation of a central clearing corporation to serve as issuer and obligor of each option contract, thus severing the contractual link between a specific option writer and buyer. These changes have facilitated the trading of existing call options in the secondary market and have provided increased liquidity, continuous public reporting of prices, better information on trading volume and open positions, and reduced transaction costs.

A Ranking of Doctoral Programs by Financial Research Contributions of Graduates

Published scholarly research is asserted to be a major criteria used to judge or assess the quality of a universitys faculty. This assertion has been supported in many of the academic disciplines by comparing peer ratings of graduate programs and the research productivity of the faculty of those programs. In the economics area, John J. Siegfried [ 7] found a significant relationship between peer ratings of economics departments, using the ratings of the first American Council on Education study by Cartter, and the number of available pages contributed by the department to the leading economic academic journals. A recent study by Klemkosky and Tuttle [6] found the same relationship between an academic institutions published research productivity and the quality of the institutions graduate finance programs as rated by peers, using the survey results of Brooker and Shinoda [3] to determine peer ratings. The importance of published research in turn is recognized by many academic institutions since the relative quality and quantity of published research is one of the major criteria used in making faculty promotion and tenure decisions.

Evidence of Heteroscedasticity in the Market Model

The market model has gained wide acceptance among academicians and is becoming increasingly accepted by portfolio managers. This study presents a statistical analysis of the homoscedasticity assumption, which, although important to the successful application of the market model, has not been fully tested in the literature. In one form or another, the simple model which follows has been used to express the relationship between the return of security i, Rit, and temporally corresponding market return, Rmt:

The Monetary Impact on Return Variability and Market Risk Premia

While the variation of the money stock has been regarded as one of the most important macroeconomic determinants in the pricing of various asset categories, capital market theory posits that asset prices will be determined by the values of specific parametric variables in an equilibrium asset pricing framework. If the two distinctive theses are correct, it seems reasonable to hypothesize that there exist some systematic relationships between money and the parameters of the capital asset pricing model. It is the main purpose of this paper to investigate the impact of monetary changes on the parametric variables in the Sharpe-Lintner-Black capital asset pricing model (CAPM). More specifically, particular emphasis is placed upon intertemporal variations of the market risk premium (i.e., the slope coefficient in the return-beta space of the security market line) and the market return variability (i.e., the nor? mal izing factor for systematic risk) as a function of the changes in the money supply. In order to generate theoretically meaningful hypotheses regarding the relationship between the exogenous macroeconomic variable and the specific para? meters embodied in the CAPM, it is necessary to specify the preference structure of investors by assuming particular classes of utility functions. Mossin [25], Lintner [20], Litzenberger and Budd [21], and Budd and Litzenberger [6] showed that the market price of risk (i.e., market risk premium divided by the norma1izing variance of return on the market portfolio) can be expressed in terms of