To explain convenience yield accruing to commodity inventory holders, time to maturity (TTM) and TIME to harvest should interact with current scarcity. Using weekly data for corn, wheat and soyabeans (1986–2009), the interaction (multiplicative) model performs better than traditional versions...

This paper considers four competing propositions to explain the convex relationship between inventories and the risk-adjusted spread called the 'Working curve': the convenience yield, the risk premium, data aggregation and the imbedded options value inherent to a futures contract. We use 70...

This paper proposes that, when modeling for the relation between the convenience yield and current scarcity, time to maturity and time to harvest should interact with current scarcity. In implementing this idea we compare three models for current scarcity, based on inventory levels, the spot...

Does one make money trading on the deviations between observed bond prices and values proposed by bond-pricing models? We extend Sercu and Wu (1997)'s work to more models and more data, but we especially refine the methodology. In particular, we provide a normal-return benchmark that markedly...

We propose a U-shaped relation between the relative weight of bank loans in total corporate debt and the firm's market-to-book ratio-a proxy for expected growth-which reconciles most existing theories. Using data on Japanese firms for 1983-97, we do find that, in the lower range of growth...

We test how keiretsu membership affects the Fama and French (1999) required IRR on value (or cost of capital) and the IRR on cost (or return on investment), 1974-95, of all listed non-financials in Japan. Rather than computing point estimates from aggregate data, we employ non-linear...

Despite of the intuitive idea that corporate governance and transparency are crucial for a country's international appeal, foreign portfolio investors appear to care first and foremost about transparency, predictability and honesty in governments. This is, at least, what our analysis of...

We generalize the Cooper and Kaplanis (1994) methodology for estimating the costs that could reconcile international portfolio holdings with CAPM predictions. First, we can simultaneously estimate inward and outward investment costs and even interactions between home and host country. Second,...