This study examines novel momentum strategies in commodities futures markets that incorporate term-structure information. We show that momentum strategies that invest in contracts on the futures curve with the largest expected roll-yield or the strongest momentum earn significantly higher...

Several studies report that abnormal returns associated with short-term reversal investment strategies diminish once trading costs are taken into account. We show that the impact of trading costs on the strategies’ profitability can largely be attributed to excessively trading in small cap...

We are the first to investigate the cross-section of stock returns in the new emerging equity markets, the so-called frontier emerging markets. Our unique survivorship-bias free data set consists of more than 1400 stocks over the period 1997 to 2008 and covers 24 of the most liquid frontier...

We present an asset allocation framework for pension funds in which they can take pension liability risk and uncertainty about future expected asset returns explicitly into account. This framework recognized the liability hedging properties of assets that correlate positively with changes in the...

We present an asset allocation framework for pension funds in which they can take pension liability risk and uncertainty about future expected asset returns explicitly into account. This framework recognized the liability hedging properties of assets that correlate positively with changes in the...

We examine the risky choices of contestants in the popular TV game show “Deal or No Deal” and related classroom experiments. Contrary to the traditional view of expected utility theory, the choices can be explained in large part by previous outcomes experienced during the game. Risk aversion...

Decision-makers show an increased risk appetite when they gamble with previously won money, the house money effect, and when they have a chance to make up for a prior loss, the break even effect. To explore the origins of these effects, we use functional magnetic resonance imaging to record the...