This article examines the relationship between the volatility of the crude oil futures market and changes in initial margin requirements. To closely match changes in futures market volatility with the corresponding changes in margin requirements, we infer the volatility of the futures market from the prices of crude oil futures options contracts. Using a mean-reverting diffusion process for volatility, we show that changes in margin policy do not affect subsequent market volatility.

Here we consider a matching model where agents are heterogeneous and utilities nontransferable. We utilize this framework to study how equilibrium sorting takes place in marriage markets. We impose conditions that guarantee the existence of a steady state equihbrium and then characterize it. Several examples are developed to illustrate the richness of equilibria. The model reveals an interesting sorting externality that can support multiple steady state equilibria, even with constant returns to matching.

This article develops theoretical insight into the effect in expected volatility, which means that large shocks are less persistent in volatility than small shocks. The model uses the Kyle-Admati-Pfleiderer setup with liquidity traders, informed traders, and a market maker. Information is modeled as a GARCH process. It is shown that the GARCH process for information is transformed into a TARCH process (for threshold GARCH) for the market price changes. Working with information flows allows one to derive implications for trading volume and market liquidity which provide the basis for a more complete test of the model. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.

Hendrik Bessembinder, Herbert M. Kaufman, A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed Stocks, The Journal of Financial and Quantitative Analysis, Vol. 32, No. 3 (Sep., 1997), pp. 287-310

Going public typically leads to a separation of managerial control and stock ownership, and potentially worsens managerial incentives. We document that the median ownership stake of officers and directors declines significantly from the year before going public to ten years later. Median operating return on assets also declines from the year before the offering to the end of the first year of public trading, but performance declines no further in ten years. In general, operating performance both within one year of the offering and during the first ten years of public trading is unrelated to ownership of officers and directors.

This study uses a new database to describe the composition and compensation of boards of directors of U.S. open-end mutual funds. We use these data to examine the relation between board structure and the fees charged by a fund to its shareholders. We find that shareholder fees are lower when fund boards are smaller, have a greater fraction of independent directors, and are composed of directors who sit on a large fraction of the fund sponsor's other boards. We find some evidence that funds whose independent directors are paid relatively higher directors' fees approve higher shareholder fees.

Some commentators argue that increased sorting into internally homogeneous neighborhoods, schools, and marriages is radically polarizing society. Calibration of a formal model, however, suggests that the steady-state standard deviation of education would increase only 1.7 percent if the correlation between neighbors' education doubled, and would fall only 1.6 percent if educational sorting by neighborhood disappeared. The steady-state standard deviation of education would grow 1 percent if the correlation between spouses' education increased from 0.6 to 0.8. In fact, marital and neighborhood sorting have been stable, or even decreasing historically. Sorting has somewhat more significant effects on intergenerational mobility than on inequality.

This paper analyzes the evolution of an economy where growth is driven by increased specialization caused by the geographical expansion of markets. It proves that such Smithian growth exhibits generic threshold behavior. Below a critical density of transport linkages, the economy is split into isolated local markets with limited specialization. Above the critical density, these markets begin to fuse into a large, economywide market causing growth to accelerate. This allows an explicit test of the consensus among historians of Sung dynasty China that the economic revolution during that period was a result of commercialization caused by the creation of a national waterway network.