This article identifies some shortcomings in the tests of the Keynesian hypothesis implemented so far. The previous studies either assume integration between futures and equity markets or rely on a methodology that might produce incorrect inferences regarding the presence of a futures risk...

The paper estimates conditional pricing models for 11 international government bonds and shows that, while local instruments capture the change in the bonds’ risks, global instruments model the variation in the factor risk premia. Altogether the changes in the factor risk premium capture...

type="main" xml:lang="en" <p>This paper tests whether the variation in expected futures returns reflects rational pricing in an efficient market or weak-form market inefficiency. The issue is investigated by looking at the abnormal performance of a trading rule based on available information. Once...</p>

The paper studies the conditional risk premia and volatilities in the Real Estate Investment Trust sector. In particular, the conditional correlations of REITs are estimated against a variety of equity and bond series. The paper builds upon recent work in the REIT literature to have examined the...

This study considers the relationship between trading volumes, transactions costs, and the profitability of momentum strategies using data from the UK. We demonstrate that round-trip transactions costs for selling loser firms are around double those of buying winners, and in particular, the...

This study assesses whether the widely documented momentum profits can be ascribed to time-varying risk as described by a GJR-GARCH(1,1)-M model. Consistent with rational pricing in efficient markets, we reveal that momentum profits are a compensation for time-varying unsystematic risks, common...

This paper investigates whether the predictability of futures returns is due to weak-form market inefficiency or to rational variation in the return required by investors over time. Market efficiency is tested with respect to the hypothesis that a conditional multifactor model that allows for...

This article explains the implications of asset market integration for the decision making process of market participants and tests the integration between futures and spot markets. Integration is investigated with respect to the hypothesis that the sources of systematic risk in futures and spot...