Faculty Research and Publications

Szakmary, Andrew C.
Departmental Link	Curriculum Vitae	No Personal Site
Related Keyword(s): options and futures markets, momentum strategies, calendar anomalies

Books and Other Published Works: (Underlined records provide link to library catalog or online link)

Article - "Momentum and Contrarian Strategies in International Stock Markets: Further Evidence," in Journal of Multinational Financial Management v. 15 (July 2005)

Article - "The Disappearing January/Turn-of-the-Year Effect: Evidence from Stock Index Futures and Cash Markets," in Journal of Futures Markets v. 24 (August 2004)

Article - "The Importance of Board Composition and Committee Structure: The Case of Poison Pills," in Corporate Ownership and Control v. 1 (Spring 2004)

Article - "The Predictive Power of Implied Volatility: Evidence from 35 Futures Markets," in Journal of Banking and Finance v. 27 (November 2003)

Article - "Using Implied Volatility on Options to Measure the Relationship Between Asset Returns and Variability," in Journal of Banking and Finance (2001)

Article - "Price Transmission Dynamics Between ADRs and Their Underlying Foreign Securities," in Journal of Banking and Finance (2000)

Article - "Trading Costs and Price Discovery Across Stock Index Futures and Cash Markets," in Journal of Futures Markets (1999)

Article - "Filter Tests in NASDAQ Stocks," in Financial Review (1999)

Article - "Golden Parachutes, Board and Committee Composition, and Shareholder Wealth," in Financial Review (1998)

Article - "Central Bank Intervention and Trading Rule Profits in Foreign Exchange Markets," in Journal of International Money and Finance (1997)

For other Publications click here for link to CV or other publications list