User profiles for J. J. Merrick
John J. Merrick, Jr.Raymond A. Mason School of Business, William & Mary Verified email at mason.wm.edu Cited by 1135 |
Strategic trading behavior and price distortion in a manipulated market: anatomy of a squeeze
JJ Merrick Jr, NY Naik, PK Yadav - Journal of Financial Economics, 2005 - Elsevier
This paper investigates an attempted delivery squeeze in a bond futures contract traded in
London. Using cash and futures trades of dealers and customers, we analyze their strategic …
London. Using cash and futures trades of dealers and customers, we analyze their strategic …
Missing the marks? Dispersion in corporate bond valuations across mutual funds
G Cici, S Gibson, JJ Merrick Jr - Journal of Financial Economics, 2011 - Elsevier
We study the dispersion of month-end valuations placed on identical corporate bonds by
different mutual funds. Such dispersion is related to bond-specific characteristics associated …
different mutual funds. Such dispersion is related to bond-specific characteristics associated …
Crisis dynamics of implied default recovery ratios: Evidence from Russia and Argentina
JJ Merrick Jr - Journal of Banking & Finance, 2001 - Elsevier
This paper extracts both the implied default recovery ratio and the risk-neutral default probability
term structure for Russian Federation and Republic of Argentina US dollar Eurobonds …
term structure for Russian Federation and Republic of Argentina US dollar Eurobonds …
Spanish treasury bond market liquidity and volatility pre-and post-European Monetary Union
A Díaz, JJ Merrick Jr, E Navarro - Journal of Banking & Finance, 2006 - Elsevier
Spain enacted a number of important debt management initiatives in 1997 to prepare its
Treasury bond market for European Monetary Union. We interpret the impacts of these changes …
Treasury bond market for European Monetary Union. We interpret the impacts of these changes …
Hedging with mispriced futures
JJ Merrick - Journal of Financial and Quantitative Analysis, 1988 - cambridge.org
This paper analyzes the correspondence between arbitrage sector pricing efficiency and the
short-term hedging costs and effectiveness of futures contracts. Reversals of initial contract …
short-term hedging costs and effectiveness of futures contracts. Reversals of initial contract …
Non-stationarity and stage-of-the-business-cycle effects in consumption-based asset pricing relations
WE Ferson, JJ Merrick Jr - Journal of Financial Economics, 1987 - Elsevier
Empirical tests of Euler equations relating security returns and consumption usually appear
to reject the model. Using a common specification of aggregate preferences and …
to reject the model. Using a common specification of aggregate preferences and …
Early unwindings and rollovers of stock index futures arbitrage programs: Analysis and implications for predicting expiration day effects
JJ Merrick Jr - The Journal of Futures Markets (1986-1998), 1989 - search.proquest.com
… Merrick, Jr. is an Associate Professor of Finance at New York … Using similar data,
Modest and Sundaresan (1983), Cornell and French (1983), Figlewski (1984) and Merrick (1987) …
Modest and Sundaresan (1983), Cornell and French (1983), Figlewski (1984) and Merrick (1987) …
Volume determination in stock and stock index futures markets: An analysis of arbitrage and volatility effects
JJ Merrick Jr - The Journal of Futures Markets (1986-1998), 1987 - search.proquest.com
… Merrick, Jr. … Merrick, Jr. is an Associate Professor of Finance, New Kork University
Graduate School of Business Administration and Visiting Economist at the Federal Reserve …
Graduate School of Business Administration and Visiting Economist at the Federal Reserve …
Bank regulation and monetary policy
JJ Merrick, A Saunders - Journal of Money, Credit and Banking, 1985 - JSTOR
… MERRICK, JR., is assistant professor of finance, Graduate School of Basiness Admanistrationv
New York University. ANTHONY SAUNDERS is associate professor offinance, Graduate …
New York University. ANTHONY SAUNDERS is associate professor offinance, Graduate …
Financial intermediaries in the midst of market manipulation: Did they protect the fool or help the knave?
We examine a fund manager's alleged manipulation of platinum and palladium futures
settlement prices. Using benchmarks from parallel electronic markets, we find that the manager's …
settlement prices. Using benchmarks from parallel electronic markets, we find that the manager's …