We explore whether there are common factors in the cross-section of individual commodity futures returns. We test various asset pricing models which have been employed for the equities market as well as models motivated by commodity pricing theories. The use of these families of models allows us...

We address the empirical implementation of the static asset allocation problem by developing a forward-looking approach that uses information from market option prices. To this end, we extract constant maturity S&P 500 implied distributions and transform them to the corresponding risk-adjusted...

This paper investigates whether an investor is made better off by including commodities in a portfolio that consists of traditional asset classes. First, we revisit the posed question within an in-sample setting by employing mean-variance and non-mean-variance spanning tests. Then, we form...

In light of the recently passed 2010 Dodd-Frank Act, we assess the effect of margin changes on prices, the risk-sharing between speculators and hedgers, and the price stability of 20 commodity futures markets. We find that margin increases decrease the rate at which prices change, yet they...

This paper investigates whether an investor is made better off by including commodities in a portfolio that consists of traditional asset classes. First, we revisit the posed question within an in-sample setting by employing mean-variance and non-mean-variance spanning tests. Then, we form...

This study examines the impact of negative skewness to preferences and asset pricing. Furthermore, it shows how intertemporal risk premia can be interpreted as negative skewness. Hence, a new performance measure, the intercept of the Harvey-Siddique two-factor asset pricing model is proposed for...

The present study examines a series of performance measures as an attempt to resolve the ex post verification problem. These measures are employed to test the performance persistence hypothesis of domestic equity funds in Greece, during the period 1998-2004. Correctly adjusting for risk factors...

We address the empirical implementation of the static asset allocation problem by developing a forward-looking approach that uses information from market option prices. To this end, constant maturity Samp;P 500 implied distributions are extracted and subsequently transformed to the corresponding...

This study examines the incentives in fund management due to the adoption of specific performance measures. A mean-variance measure such as Jensen's alpha incentivizes fund managers to load negative coskewness risk. This risk is shown to be priced in the UK stock market during the period January...