This study employs daily data for 14 commodities and three financial assets 1990–2009 to explore the impact of the time series properties of the futures‐spot basis and the cost of carry on forward market unbiasedness. The main result is that the basis of 16 assets exhibits both long memory...

We show that expected returns on US stocks and all major global stock market indices have a particular form of non-linear dependence on previous returns. The expected sign of returns tends to reverse after large price movements and trends tend to continue after small movements. The observed...

This paper applies new time-series procedures to examine the Prebisch-Singer hypothesis of a secular deterioration in relative primary commodity prices and the nature of their persistence. Employing a dataset of 24 relative commodity prices for the 1900-98 period, the pervasiveness of the...

The purpose of this paper is to evaluate the ability of dividend ratios to predict the UK equity premium. Specifically, we apply the Goyal and Welch (2003) methodology to equity premia derived from the UK FTSE All-Share index. This approach provides a powerful graphical diagnostic for predictive...

The Prebisch-Singer hypothesis is often popularised as implying a declining long-run trend in primary commodity prices relative to manufactures, and conventional datasets to examine the hypothesis typically commence at the beginning of the 20th century. Theoretical rationales include the...

The ability of futures markets to predict subsequent spot prices has been a controversial topic for a number of years. Empirical evidence to date is mixed; for any given market, some studies find evidence of efficiency, others of inefficiency. In part, these apparently conflicting findings reflect...

Harvey, Kellard, Madsen and Wohar (2010, Review of Economics and Statistics, 92, 367-377) contains data construction errors and the reported results are incorrect. This erratum provides the corrected results

We investigate whether social connections within the hedge fund industry affect investment decisions. Data is collected from interviews and observations with industry participants in Europe, the United States and Asia. Quantitatively analyzing the mapped social network, we find that decision...

The role of oil price shocks in economic activity and inflation is controversial but a key input to economic policy. To clarify these relations, we employ a refined measure of oil shocks based on decomposing realized volatility and estimated using intraday oil futures data. In reconciling prior...