"We evaluate whether the market reacts rationally to profit warnings by testing for subsequent abnormal returns. Warnings fall into two classes: those that include a new earnings forecast, and those that offer only the guidance that earnings will be below current expectations. We find significant negative abnormal returns in the first three months following both types of warning. There is also evidence that underreaction is more pronounced when the disclosure is less precise. Abnormal returns are significantly more negative following disclosures that offer only qualitative guidance than when a new earnings forecast is included". Copyright Blackwell Publishers Ltd, 2005.

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This study investigates the relationship between volatility and contract expiration for the case of Mexican interest rate futures. Specifically, it examines the hypothesis that the volatility of futures prices should increase as contracts approach expiration (the "maturity effect"). Using panel data techniques, the study assesses the differences in volatility patterns between contracts. The results show that although the maturity effect was sometimes present, the inverse effect prevails; volatility decreases as expiration approaches. On the basis of the premises of the negative covariance hypothesis, the study provides additional criteria that explain this behavior in terms of the term structure dynamics.

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