This paper extends the work in Serletis (1992) by re-examining the empirical evidence for random walk type behavior in energy futures prices. It tests for fractional integrating dynamics in energy futures markets utilizing more recent data (from January 3, 1994 to June 30, 2005) and a new...

The theories of investment under uncertainty and real options predict that uncertainty about, for example, oil prices will tend to depress current investment. We reinvestigate the relationship between the price of oil and investment, focusing on the role of uncertainty about oil prices. We find...

Analytical results are presented that drastically simplify joint estimation of the APT by Non-linear SUR and maximum likelihood when the factors are measured. Four alternative analytical expressions for calculating standard errors are also presented.Please see published version in Economics...

We reexamine commodity futures returns for evidence of fractional integration utilizing two estimators based on wavelets. We summarize basic wavelet methods for signal processing and decompose commodity futures returns by wavelet scale. We find the evidence for long memory is not conclusive...

We reexamine the volatility of agricultural commodity futures for evidence of fractional integration, providing new empirical results and extending the extant literature in important dimensions. First, we utilize two relatively new estimators based on wavelets, which are generally superior to,...

We investigate the empirical relation between corporate governance and stock market liquidity. We find that firms with better corporate governance have narrower spreads, higher market quality index, smaller price impact of trades, and lower probability of information-based trading. In addition,...

The implementation of monetary policy through financial markets is widely believed to be an important factor affecting the return on financial assets, particularly the return on short-term government debt. This paper assesses the effects of shocks to monetary policy on Treasury bill returns by...

This paper provides some empirical evidence on a relatively new and increasingly prevalent form of equity restructuring called tracking stock. Also known as quot;targetedquot; or quot;letteredquot; stock in the financial press, this equity structure has been adopted with increasing frequency,...

This paper investigates the extent to which observable macroeconomic factors can explain the time-varying risk premia in the short-end of the term structure. The empirical model we employ is motivated by a dynamic asset pricing model with time-invariant reward-to-risk measures and time-varying...