The use of futures prices to predict commodity cash prices is important both to practitioners and researchers yet the literature provides conflicting results on the ability of futures prices to predict cash prices. Brenner and Kroner (1995) argue that if the cost of carry model applies to...

A time series test of the cost of carry model, including stock level effects, is reported for the lead futures contract traded at the London Metal Exchange (LME). The test uses quarterly time series observations spanning March 1976 to June 1995. Phillips Perron and Augmented Dickey Fuller unit...

This study explains derivative use with multivariate analysis over a sample of 374 large Australian companies. Scale, financial distress, taxes, management compensation, agency costs, optimal investment arguments and the existence of foreign assets and foreign sales help to explain derivative...

Financial economics often assumes that equity agency costs increase with the separation of ownership and control. This paper tests this relationship using a survey sample of approximately 3800 Australian small and medium enterprises for 1996-7 and 1997-8. Following Ang, Cole and Lin (2000) we...

The relative performance of small versus large funds has generated some interest in the literature yet there is little empirical evidence to support the existence of superior small fund performance relative to large fund performance. Berk and Green (2004) provide one explanation. They argue...

The pricing of commodity futures contracts is important both for professionals and for academics. It is often argued that futures prices include a convenience yield and this paper uses a simple trading strategy to approximate the impact of convenience yields. The approximation requires only...

This study examines the relationship between financial market segmentation and political risk. Financial economists have attributed market segmentation to factors such as foreign exchange risk, taxes, tariffs and capital controls whereas the influence of political risk has been largely ignored....

This study examines the relationship between financial market segmentation and political risk. Financial economists have attributed market segmentation to factors such as foreign exchange risk, taxes, tariffs and capital controls whereas the influence of political risk has been largely ignored....

This paper examines the trend towards regionalism upon stock market returns in Latin America. Average correlations with other countries in the region and with the world suggest that the Latin American stock markets have become more regionally integrated over the study period. This finding...

The relative performance of small versus large funds has generated some interest in the literature yet there is little empirical evidence to support the existence of superior small fund performance relative to large fund performance. Berk and Green (2004) provide one explanation. They argue...