This article investigates out-of-sample performance of the naïve hedging strategy relative to that of the minimum variance hedging strategy, in which the covariance parameters are estimated from eighteen econometric models. Hedging performance is compared across twenty-four futures markets. Our...

Forecasting oil prices has been of great interests for macroeconomists in the recent years. Our article contributes to this strand of the literature by using a dynamic model averaging (DMA) method to improve forecasting accuracy of real oil prices. The advantage of DMA is that the method...

While the relationship between oil prices and stock markets is of great interest to economists, previous studies do not differentiate oil-exporting countries from oil-importing countries when they investigate the effects of oil price shocks on stock market returns. In this paper, we address this...

There is increasing attention on information transfers along supply chain partners for firm (extreme) events. This growing literature finds spillover effects following certain types of firm events. Using data from credit rating actions of Chinese-listed firms over the period between March 2007...

Using data from the Chinese A-share market in 2004-2012, this paper shows how cognitive bias of individual analysts lead to counter-productive effect in less-developed financial markets. We form an ex-ante measure of analysts' expectation error, a measure suitable for markets with short history....

This paper investigates the different effects of political connections on the firm performance of state-owned enterprises (SOEs) and privately owned enterprises. Using data on Chinese listed firms from 1999 to 2007, we find that private firms with politically connected managers outperform those...

We develop a novel method to impose constraints on univariate predictive regressions of stock returns. Unlike the previous approaches in the literature, we implement our constraints directly on the predictor, setting it to zero whenever its value falls below the variable's past 12-month high....

In this paper, we review studies of oil volatility prediction from a new perspective: that of investors who require economic evaluations of forecasting performance. Our results indicate that no single volatility model outperforms all of the competing models, of which GARCH and realized...

A well-documented finding is that explicitly using jumps cannot efficiently enhance the predictability of crude oil price volatility. To address this issue, we find a phenomenon, "momentum of jumps" (MoJ), that the predictive ability of the jump component is persistent when forecasting the oil...