The ability of oil investment vehicles to perfectly track spot oil has always been challenging, however recently many vehicles have underperformed spot oil. We study the behavior of oil futures and exchange-traded products that invest in oil futures to document and understand the source of this...

We document a robust pattern of beta declining over the age of a firm. We find that changes in systematic risk via firm characteristics and life-cycle stages are insufficient to explain this pattern. Moreover, standard proxies for the quantity and quality of information also explain this pattern...

This article examines the efficiency of a relatively new market, the weather derivatives market. The weather market is an especially interesting market to study, since it is relatively new and less liquid and whose underlying has no fundamental value. We examine the weather derivatives futures...

Investment managers that believe to have skill must choose some fraction of stocks in a benchmark to hold. Recent theory predicts that the optimal percentage of holdings for a manager with skill is between 50 and 80 percent of the benchmark. This theory requires a number of assumptions. Using...

This article examines the efficiency of the weather futures market traded on the CME in both HDD and CDD futures contracts in 18 cities across the United States. Efficiency is examined in three ways. First, by comparing the market's implied forecasts for the weather against other forecasts....

In the infinitely repeated Prisoner's Dilemma game with complete information, there are two popular Nash Equilibrium strategies. One such strategy is to not cooperate in every period, which is both a Nash Equilibrium in the one-shot game and a subgame-perfect Nash Equilibrium in the repeated...

With the advancement of medical sciences, knowledge transfer will become easier and cheaper. It may alter the way we traditionally think about relative wages. In this paper, we formalize this process with a labor model in which the cost of knowledge transfer and preferences over occupation are...

Investment managers often manage a portfolio of stocks with respect to a benchmark. Their primary concern is selecting the best stocks to outperform their benchmark, while constraining their tracking error. The most common way of doing this is to use an optimization framework to maximize the...