Thomas C. Green

Learn More
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)
For a Software Process Improvement (SPI) effort to succeed, its participants must have a sense of ownership. One practical technique for achieving that sense of ownership is to apply a meta-process based on the principals of configuration management (CM) to the SPI effort. This paper provides insight into issues of ownership surrounding actual SPI efforts(More)
  • 1