Price Discovery (price + discovery)

Distribution by Scientific Domains

Terms modified by Price Discovery

  • price discovery process

  • Selected Abstracts


    Presidential Address: Liquidity and Price Discovery

    THE JOURNAL OF FINANCE, Issue 4 2003
    Maureen O'Hara
    This paper examines the implications of market microstructure for asset pricing. I argue that asset pricing ignores the central fact that asset prices evolve in markets. Markets provide liquidity and price discovery, and I argue that asset pricing models need to be recast in broader terms to incorporate the transactions costs of liquidity and the risks of price discovery. I argue that symmetric information-based asset pricing models do not work because they assume that the underlying problems of liquidity and price discovery have been solved. I develop an asymmetric information asset pricing model that incorporates these effects. [source]


    Price Discovery in Initial Public Offerings and the Role of the Lead Underwriter

    THE JOURNAL OF FINANCE, Issue 6 2000
    Reena Aggarwal
    We examine the price discovery process of initial public offerings (IPOs) using a unique dataset. The first quote entered by the lead underwriter in the five-minute preopening window explains a large proportion of initial returns even for hot IPOs. Significant learning and price discovery continues to take place during these five minutes with hundreds of quotes being entered. The lead underwriter observes the quoting behavior of other market makers, particularly the wholesalers, and accordingly revises his own quotes. There is a strong positive relationship between initial returns and the time of day when trading starts in an IPO. [source]


    Competition For Order Flow, Market Quality, And Price Discovery In The Nasdaq 100 Index Tracking Stock

    THE JOURNAL OF FINANCIAL RESEARCH, Issue 3 2003
    Yiuman Tse
    Abstract We investigate competition for order flow, market quality, and price discovery in the Nasdaq 100 Index Tracking Stock (QQQ). The QQQ, an AMEX-listed, exchange-traded fund, is the most actively traded security in the U.S. equities market. On July 31, 2001, the NYSE began trading the QQQ, marking the first time it traded securities of companies it does not list. The greatest volume of trading takes place on electronic communication networks (ECNs), following by trading on the AMEX and the NYSE. Most of the block trades are executed on the AMEX, where the bid-ask spreads are narrower. We find that ECNs contribute the most to the price-discovery process. The spreads on all trading platforms have decreased and market quality and price discovery have improved since QQQ shares have traded on the NYSE. [source]


    Relative Efficiency of Price Discovery on an Established New Market and the Main Board: Evidence from Korea

    ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 4 2010
    Kyong Shik Eom
    G10; G14; G15 Abstract We examine the relative efficiency of price discovery between the new market (KOSDAQ) and the main board (KOSPI) in the Korean stock markets that have the same trading mechanism (i.e. electronic limit-order book), focusing on the comparisons of each market's efficiency of price discovery in three aspects: speed, degree, and accuracy. We find that, for our entire firm sample, price discovery on KOSDAQ is less efficient than on KOSPI. However, the price discovery of the most liquid group (top 40 stocks) on KOSDAQ turns out to be as efficient as the lowest group (top 160th,200th stocks) among the top 200 liquid stocks on KOSPI. These two quintiles are comparable in terms of their firm characteristics, so it appears that the greater overall efficiency of price discovery on KOSPI is due to the characteristics of its listed firms, rather than any inherent difference between a main board and a new market. We also find evidence that the speed of price discovery is mainly determined by turnover, whereas the accuracy of price discovery is mainly determined by turnover and intraday volatility. All together, our results provide some policy implications for developing or even developed countries eager to establish a viable new market. First, price discovery in a successful or viable new market in an emerging economy behaves as predicted in the market microstructure literature, even though that literature is based primarily on main boards in advanced stock markets. Second, price discovery in the most liquid group in a new market is more accurate, although slower, than in the lowest group among the liquid stocks on a main board; on balance, the main board and new market are comparable. Finally, the accuracy of price discovery is more (less) impacted by turnover (intraday volatility) on the new market than on the main board. [source]


    Price discovery in electronic foreign exchange markets: The sterling/dollar market

    THE JOURNAL OF FUTURES MARKETS, Issue 6 2010
    Russell Poskitt
    This study finds that GLOBEX has a marginally lower Hasbrouck, J. (1995) information share than Reuters D3000 in the electronic sterling/dollar foreign exchange market when returns are computed from high frequency data on either midquotes or transaction prices. However, GLOBEX's information share declines sharply when returns are computed from a mixture of GLOBEX transaction prices and Reuters D3000 midquotes. This helps explain why prior studies using this latter methodology report relatively low information shares for GLOBEX in the yen/dollar market. Variations in GLOBEX's information share on an intraday basis can be explained by variations in relative liquidity, spreads and price volatility. 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:590,606, 2010 [source]


    Price discovery in the options markets: An application of put-call parity

    THE JOURNAL OF FUTURES MARKETS, Issue 4 2008
    Wen-Liang G. Hsieh
    This study investigates the relative rate of price discovery in Taiwan between index futures and index options, proposing a put-call parity (PCP) approach to recover the spot index embedded in the options premiums. The PCP approach offers the benefits of reducing model risk and alleviating the burden of volatility estimation. Consistent with the trading-cost hypothesis, a dominant tendency is found for futures and a subordinate but non-trivial price discovery from options. The relative weight of options price discovery is sensitive to the methodology employed as the means of inferring the option-implicit spot price. The empirical evidence suggests that the information contained in the PCP-implied spot encompasses that provided by the Black-Scholes-implied spot. 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:354, 375, 2008 [source]


    Price discovery in the foreign exchange futures market

    THE JOURNAL OF FUTURES MARKETS, Issue 11 2006
    Yiuman Tse
    Examination is made of the relative contributions to price discovery of the floor and electronically traded euro FX and Japanese yen futures markets and the corresponding retail on-line foreign exchange spot markets. GLOBEX electronic futures contracts provide the most price discovery in the euro; the on-line trading spot market provides the most in the Japanese yen. The floor-traded futures markets contribute the least to price discovery in both the euro and the Japanese yen markets. The overall results show that electronic trading platforms facilitate price discovery more efficiently than floor trading. Futures traders may also extract information from on-line spot prices. 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:1131,1143, 2006 [source]


    Price discovery in the aluminum market

    THE JOURNAL OF FUTURES MARKETS, Issue 10 2005
    Isabel Figuerola-Ferretti
    An extended version of the S. Beveridge and C. R. Nelson (1981) decomposition and a latent variable approach are used to examine how the noise content, and therefore the informativeness, of four aluminum prices that have been quoted at various times since 1970,the (now defunct) U.S. producer price, a transactions price reported in a trade journal, and the LME and Comex exchange prices. It was found that the start of aluminum futures trading in 1978 resulted in greater price transparency in the sense that the information content of transactions prices increased. LME prices quickly came to be more informative than published transactions prices. Although the initial Comex aluminum contract failed to attract liquidity and had low information content, the 1999 contract, trading currently, is as transparent as the LME contract. 2005Wiley Periodicals, Inc. Jrl Fut Mark 25:967,988, 2005 [source]


    A model of price discovery and market design: Theory and empirical evidence

    THE JOURNAL OF FUTURES MARKETS, Issue 12 2004
    Michael T. ChngArticle first published online: 11 OCT 200
    Price discovery is an essential function performed by derivative markets. For a derivative exchange, its markets' ability to incorporate information into prices to "derive" the underlying asset's value is a key objective of market design. The J. Hasbrouck (1991a) model is applied to examine the design and price discovery of a futures market. First, the model is extended to consider a comprehensive dynamic interaction between the price-size coordinates of orders and trades. Second, floor and screen tick data from LIFFE's FTSE 100 index futures market is used to estimate the two models. The significance of order size variables in the extended model suggests that order flow transparency, which is supported by an electronic trading platform, improves price discovery. 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:1107,1146, 2004 [source]


    Price discovery in the hang seng index markets: Index, futures, and the tracker fund

    THE JOURNAL OF FUTURES MARKETS, Issue 9 2004
    Raymond W. So
    In this paper, price discovery among the Hang Seng Index markets is investigated using the Hasbrouck and Gonzalo and Granger common-factor models and the multivariate generalized autoregressive conditional heteroskedasticity (M-GARCH) model. Minute-by-minute data from the Hang Seng Index, Hang Seng Index futures, and the tracker fund show that the movements of the three markets are interrelated. The futures markets contain the most information, followed by the spot market. The tracker fund does not contribute to the price discovery process. The three markets exhibit spillover effects, indicating that their second moments are linked, even though the flow of information from the tracker fund to the other markets is minimal. Overall results suggest that the three markets have different degrees of information processing abilities, although they are governed by the same set of macroeconomic fundamentals. 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:887,907, 2004 [source]


    Price discovery in the Texas cash cattle market

    APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, Issue 4 2004
    David A. Bessler
    Abstract Time series methods and directed acyclic graphs are used to uncover the centre of price discovery in 10 weight/gender classes of feeder and fed cattle from cash markets in Texas, U.S.A. Heavy feeder heifers, animals sitting on a margin of feeding for meat or breeding for new stocks, are weakly exogenous in an error correction representation of these prices. Further, contemporaneous price innovations from this class of animals cause price innovations in feeder steers and lighter weight feeder heifers. Innovation accounting shows the prominent role that heavy heifers play in cattle price discovery. Copyright 2004 John Wiley & Sons, Ltd. [source]


    Efficiency of the German electricity wholesale market

    EUROPEAN TRANSACTIONS ON ELECTRICAL POWER, Issue 4 2009
    Christian Growitsch
    Abstract One of the major challenges of liberalising European electricity markets is to create competitive and efficient power trading markets. In this paper, we assess the overall efficiency of the German electricity wholesale market using cointegration analysis and error correction modelling. Applying these techniques allows us to evaluate the wholesale market efficiency in terms of price adjustments and the rapidity towards the adjustment in the price discovery and adjustment process. We show that the wholesale market seems to be inefficient and not well functioning. The inability of European Energy Exchange spot market in providing an efficient price reference to the power market suggest that the power exchange still lacks liquidity. Second, our results indicate that bilateral contracts keep the wholesale electricity prices intact with the EEX prices and also stabilise the volatility in the German wholesale market. Also, the econometric results suggest that the existence of the OTC market along with power exchange is creating a competitive effect in the wholesale market in Germany. Copyright 2009 John Wiley & Sons, Ltd. [source]


    Informed Trading around Merger Announcements: An Empirical Test Using Transaction Volume and Open Interest in Options Market

    FINANCIAL REVIEW, Issue 2 2001
    Narayanan Jayaraman
    G14/G34 Abstract This paper provides empirical evidence on the level of trading activity in the stock options market prior to the announcement of a merger or an acquisition. Our analysis shows that there is a significant increase in the trading activity of call and put options for companies involved in a takeover prior to the rumor of an acquisition or merger. This result is robust to both the volume of option contracts traded and the open interest. The increased trading suggests that there is a significant level of informed trading in the options market prior to the announcement of a corporate event. In addition, abnormal trading activity in the options market appears to lead abnormal trading volume in the equity market. This finding supports the hypothesis that the options market plays an important role in price discovery. [source]


    The impact of lunchtime closure on market behaviour: evidence from the Sydney Futures Exchange

    ACCOUNTING & FINANCE, Issue 1-2 2001
    Alex Frino
    This paper examines the impact of lunchtime closure on market behaviour. Between May and September, 1994 the Sydney Futures Exchange trialed lunchtime trading. The trial provides a unique natural laboratory experiment for examining the impact of lunchtime closure. The analysis reported in this paper documents abnormally high bid ask spreads, price volatility and trading volume on re-opening of the market following lunchtime closure. These results confirm that closure has an impact on trading activity, and are consistent with the effects of strategic informed trading, a loss in price discovery and/or trading associated with risk transfer. An abnormal increase in trading volume prior to lunchtime closure is also documented, providing unambiguous evidence of trading activity motivated by risk transfer. Overall these results imply that lunchtime closure disrupts trading activity and reduces market quality by imposing additional costs on market participants. [source]


    Asymmetric information, price discovery and macroeconomic announcements in FX market: do top trading banks know more?

    INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 3 2010
    Kate Phylaktis
    Abstract This study investigates information asymmetry in the foreign exchange market by testing the hypothesis that top trading banks possess superior information on the macroeconomy because they process greater order flow, which, according to the micro-structure literature, helps them aggregate the dispersed information and feel the general movements of the economy. Examining the information share of the banks in the Reuters EFX system using indicative GBP,$US data over 5 years, we find that the top 10 banks, out of 100 quoting banks in the market, have a monthly average share of over 70% of total market information, and around 80% during some US macroannouncements. These results suggest the possibility of private information over public news in the foreign exchange market. Copyright 2009 John Wiley & Sons, Ltd. [source]


    Measuring Productive Efficiency of Stock Exchanges using Price Adjustment Coefficients

    INTERNATIONAL REVIEW OF FINANCE, Issue 1-2 2003
    Vijaya B. Marisetty
    A stock exchange's efficiency can be measured by its liquidity and price discovery mechanism. An exchange that provides price discovery will have high liquidity. By measuring the speed of stock price adjustment to its intrinsic value with the arrival of new information, we can understand the price discovery process and productive efficiency of a stock exchange. India has 23 stock exchanges, 20 of which have almost become dysfunctional due to negligible trading during the last five years. Measuring productive efficiency of the current active stock exchanges will help to understand the future direction of the Indian stock market. Using the corrected Damodaran (1993) model and a new model proposed in this paper, I found that information adjustment in the Indian market is very slow. Contrary to the developed markets, in the Indian stock market, stock prices overreact before adjusting to their intrinsic values. I also found that market-wide information adjusts faster than firm-specific information. [source]


    Presidential Address: The Cost of Active Investing

    THE JOURNAL OF FINANCE, Issue 4 2008
    KENNETH R. FRENCH
    ABSTRACT I compare the fees, expenses, and trading costs society pays to invest in the U.S. stock market with an estimate of what would be paid if everyone invested passively. Averaging over 1980,2006, I find investors spend 0.67% of the aggregate value of the market each year searching for superior returns. Society's capitalized cost of price discovery is at least 10% of the current market cap. Under reasonable assumptions, the typical investor would increase his average annual return by 67 basis points over the 1980,2006 period if he switched to a passive market portfolio. [source]


    Presidential Address: Liquidity and Price Discovery

    THE JOURNAL OF FINANCE, Issue 4 2003
    Maureen O'Hara
    This paper examines the implications of market microstructure for asset pricing. I argue that asset pricing ignores the central fact that asset prices evolve in markets. Markets provide liquidity and price discovery, and I argue that asset pricing models need to be recast in broader terms to incorporate the transactions costs of liquidity and the risks of price discovery. I argue that symmetric information-based asset pricing models do not work because they assume that the underlying problems of liquidity and price discovery have been solved. I develop an asymmetric information asset pricing model that incorporates these effects. [source]


    Price Discovery in Initial Public Offerings and the Role of the Lead Underwriter

    THE JOURNAL OF FINANCE, Issue 6 2000
    Reena Aggarwal
    We examine the price discovery process of initial public offerings (IPOs) using a unique dataset. The first quote entered by the lead underwriter in the five-minute preopening window explains a large proportion of initial returns even for hot IPOs. Significant learning and price discovery continues to take place during these five minutes with hundreds of quotes being entered. The lead underwriter observes the quoting behavior of other market makers, particularly the wholesalers, and accordingly revises his own quotes. There is a strong positive relationship between initial returns and the time of day when trading starts in an IPO. [source]


    INFORMATION AND NOISE IN FINANCIAL MARKETS: EVIDENCE FROM THE E-MINI INDEX FUTURES

    THE JOURNAL OF FINANCIAL RESEARCH, Issue 3 2008
    Alexander Kurov
    Abstract I examine the informational contributions and effects on transitory volatility of trades initiated by different types of traders in three actively traded index futures markets. The results show that trades initiated by exchange member firms account for more than 60% of price discovery during the trading day. These institutional trades appear to be more informative than trades of individual exchange members or off-exchange traders. I also find that off-exchange traders introduce more noise into the prices than do exchange members. My findings provide new evidence on the role of different types of traders in the price formation process. [source]


    Competition For Order Flow, Market Quality, And Price Discovery In The Nasdaq 100 Index Tracking Stock

    THE JOURNAL OF FINANCIAL RESEARCH, Issue 3 2003
    Yiuman Tse
    Abstract We investigate competition for order flow, market quality, and price discovery in the Nasdaq 100 Index Tracking Stock (QQQ). The QQQ, an AMEX-listed, exchange-traded fund, is the most actively traded security in the U.S. equities market. On July 31, 2001, the NYSE began trading the QQQ, marking the first time it traded securities of companies it does not list. The greatest volume of trading takes place on electronic communication networks (ECNs), following by trading on the AMEX and the NYSE. Most of the block trades are executed on the AMEX, where the bid-ask spreads are narrower. We find that ECNs contribute the most to the price-discovery process. The spreads on all trading platforms have decreased and market quality and price discovery have improved since QQQ shares have traded on the NYSE. [source]


    Reversing the lead, or a series of unfortunate events?

    THE JOURNAL OF FUTURES MARKETS, Issue 12 2009
    Amaranth, NYMEX
    A number of studies compare the efficiency and transparency of floor trading with automated/electronic trading systems in the competition for order flow. Although most of these studies find that electronic systems lead price discovery, a few studies highlight the weaknesses of electronic trading in highly volatile market conditions. A series of unusual events in 2006, sparking extreme volatility in natural gas futures trading, provide an ideal setting to revisit the resilience of trading system price leadership in the face of high volatility. We estimate time-varying Hasbrouck-style information shares to investigate the intertemporal and cross-sectional dynamics in price discovery. The results strongly suggest that the information share is time-dependent and contract-dependent. Floor trading dominates price discovery in the less liquid longer-maturity contracts, whereas electronic trading dominates price discovery in the most liquid spot-month contract. We find that the floor trading information share increases significantly with realized volatility. 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:1130,1160, 2009 [source]


    Analyst forecasts and price discovery in futures markets: The case of natural gas storage

    THE JOURNAL OF FUTURES MARKETS, Issue 5 2009
    Gerald D. Gay
    We investigate analyst forecasts in a unique setting, the natural gas storage market, and study the contribution of analysts in facilitating price discovery in futures markets. Using a high-frequency database of analyst storage forecasts, we show that the market appears to condition expectations regarding a weekly storage release on the analyst forecasts and beyond that of various statistical-based models. Further, we find that the market looks through the reported consensus analyst forecast and places differential emphasis on the individual forecasts of analysts according to their prior accuracy. Also, the market appears to place greater emphasis on analysts' long-term accuracy than on their recent accuracy. 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:451,477, 2009 [source]


    A new information share measure

    THE JOURNAL OF FUTURES MARKETS, Issue 4 2009
    Donald Lien
    In this study, we modify the information share (IS) originally proposed by Hasbrouck, J. (1995). The proposed modified information share (MIS) leads to a unique measure of price discovery instead of the upper and lower IS bounds. Performance of MIS is compared with the Hasbrouck IS measure and the Gonzalo,Granger permanent,transitory decomposition (PT/GG)-based measure using simulations with 1,000 replications applied to the same three examples considered by Hasbrouck, J. (2002). The MIS is found to outperform both Hasbrouck IS measure and PT/GG measure. The empirical application of the MIS to three major stock indices indicates that price discovery takes place mostly in the futures market. Hence, the evidence supports the transaction cost hypothesis as well as the model proposed by Garbade, K. D., and Silber, W. L. (1983). 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:377,395, 2009 [source]


    Do futures lead price discovery in electronic foreign exchange markets?

    THE JOURNAL OF FUTURES MARKETS, Issue 2 2009
    Juan Cabrera
    Using intraday data, this study investigates the contribution to the price discovery of Euro and Japanese Yen exchange rates in three foreign exchange markets based on electronic trading systems: the CME GLOBEX regular futures, E-mini futures, and the EBS interdealer spot market. Contrary to evidence in equity markets and more recent evidence in foreign exchange markets, the spot market is found to consistently lead the price discovery process for both currencies during the sample period. Furthermore, E-mini futures do not contribute more to the price discovery than the electronically traded regular futures. 2008 Wiley Periodicals, Inc. Jrl Fut Mark 29:137,156, 2009 [source]


    Tick sizes and relative rates of price discovery in stock, futures, and options markets: Evidence from the Taiwan stock exchange

    THE JOURNAL OF FUTURES MARKETS, Issue 1 2009
    Yu-Lun Chen
    This study examines the competition in price discovery among stock index, index futures, and index options in Taiwan. The price-discovery ability of the Taiwan Top 50 Tracker Fund, an exchange-traded fund based on the Taiwan 50 index is examined. The authors find that, after the minimum tick size in the stock market decreases, the bid,ask spreads of the component stocks of the stock index and the Taiwan Top 50 Tracker Fund get lower, and the contribution of the spot market to price discovery increases. 2008 Wiley Periodicals, Inc. Jrl Fut Mark 29:74,93, 2009 [source]


    Tick size reduction, execution costs, and informational efficiency in the regular and E-mini Nasdaq-100 index futures markets

    THE JOURNAL OF FUTURES MARKETS, Issue 9 2008
    Alexander Kurov
    On April 2, 2006, the Chicago Mercantile Exchange reduced the minimum tick size of the floor-traded and E-mini Nasdaq-100 futures from 0.5 to 0.25 index points. This study examines the effect of this change in the contract design on execution costs, informational efficiency, and price discovery. The results show a significant reduction in the effective spreads in both of the contract markets but especially in the electronically traded E-mini futures. The paper also finds that the tick size reduction has improved price discovery and informational efficiency in the E-mini futures market. 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:871,888, 2008 [source]


    Efficiency of single-stock futures: An intraday analysis

    THE JOURNAL OF FUTURES MARKETS, Issue 6 2008
    Joseph K.W. Fung
    Using intraday bid,ask quotes of single-stock futures (SSFs) contracts and the underlying stocks, the pricing and informational efficiency of SSF traded on the Hong Kong Exchange are examined. Both the SSFs and the stocks are traded on electronic platforms. The market microstructure and the data obviate the problems of stale and non-executable prices as well as uncertain bid,ask bounce of the thinly traded futures contracts. Nominal price comparisons show that more than 80% of SSF quotes are inferior to stock quotes. More than 99% of the observed futures spreads are above one stock tick compared with only 2% of those for stocks. After adjusting for the cost-of-carry, however, SSFs are fairly priced. Given higher stock trading costs, non-members should even find the futures attractively priced. Thus, the absence of competitive market maker does not bias prices so as to discourage trading. SSF quotes also account for one-third of price discovery despite their low volume. 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:518,536, 2008 [source]


    Price discovery in the options markets: An application of put-call parity

    THE JOURNAL OF FUTURES MARKETS, Issue 4 2008
    Wen-Liang G. Hsieh
    This study investigates the relative rate of price discovery in Taiwan between index futures and index options, proposing a put-call parity (PCP) approach to recover the spot index embedded in the options premiums. The PCP approach offers the benefits of reducing model risk and alleviating the burden of volatility estimation. Consistent with the trading-cost hypothesis, a dominant tendency is found for futures and a subordinate but non-trivial price discovery from options. The relative weight of options price discovery is sensitive to the methodology employed as the means of inferring the option-implicit spot price. The empirical evidence suggests that the information contained in the PCP-implied spot encompasses that provided by the Black-Scholes-implied spot. 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:354, 375, 2008 [source]


    Benchmark tipping and the role of the swap market in price discovery

    THE JOURNAL OF FUTURES MARKETS, Issue 10 2007
    Russell PoskittArticle first published online: 14 AUG 200
    The author uses a high-frequency data set to investigate the roles of the sterling swap and futures markets in price discovery at the short-end of the sterling yield curve. Information flows between the futures and swap markets are found to be largely contemporaneous. Causal information flows are bidirectional, although the futures market dominates the information flow over the very short term. Thus, the futures market remains the primary locus of price discovery despite the increased use of swaps as a pricing benchmark and hedging instrument in recent years. 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:981,1001, 2007 [source]