T. Clifton Green

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This paper studies the impact of trading on government bond prices surrounding the release of macroeconomic news. The results show a significant increase in the informa-tional role of trading following economic announcements, which suggests the release of public information increases the level of information asymmetry in the government bond market. The(More)
Derivatives valuation and risk management involve heavy use of quantitative models. To develop a quantitative assessment of model risk as it affects the basic option writing strategy that might be followed by a financial institution, we conduct an empirical simulation, with and without hedging, using data from 1976 to 1996. Results indicate that imperfect(More)
The Morning Call and Midday Call segments on CNBC TV provide a unique opportunity to study the efficient market hypothesis. The segments report analysts' views about individual stocks and are broadcast when the market is open. We find that prices respond to reports within seconds of initial mention, with positive reports fully incorporated within one(More)
We examine the performance of buy-side institutional investor trades and sell-side brokerage analyst stock recommendations, as well as their interactions. Buy-side trades follow sell-side analyst recommendations but not the other way around. While buy-side purchases significantly outperform their sales, the difference in performance is largely concentrated(More)
Recently, we have been able to synthesize platinum colloidal nanoparticles of different shapes (Science, 1996, 272, 1924). In this report, we present transmission electron microscopic (TEM) results on the time-dependent shape distribution of platinum nanoparticles during the growth period and its dependence on the concentration of the capping polymer as(More)
W e find that initial public offerings (IPOs) with high expected skewness experience significantly greater first-day returns. The skewness effect is stronger during periods of high investor sentiment and is related to differences in skewness across industries as well as to time-series variation in the level of skewness in the market. IPOs with high expected(More)
We examine the trades of index funds and other institutions around S&P 500 index additions. We find index funds begin rebalancing their portfolios with the announcement of composition changes and do not fully establish their positions until weeks after the effective date. Trading away from the effective date is more prevalent for stocks with lower levels of(More)