We provide evidence on the role of commodity futures in portfolios comprised of stocks, bonds, T‐bills, and real estate. Over the period investigated (1973–1997), Markowitz optimization over a range of risk levels gives substantial weight to commodity futures, thereby enhancing the...

Recent studies identify stock return patterns associated with changes in Federal Reserve monetary policy. We find that these return patterns prevail across sixteen industry stock indices. However, significant cross-industry variation exists as the apparel industry exhibits mean annual returns...

We examine industry affiliation and the relationship between stock returns and book-to-market equity (the value effect). The robustness of the value effect is supported as a significant value premium is shown to exist in 15 of 21 industries. Both industry- and firm-level value effects are...

This article examines the relation between ownership structure and firm value as proxied by market-to-book ratios for real estate investment trusts (REITs) over the period 1980 to 1994. Piecewise regression analysis reveals a nonlinear relationship between REIT market-to-book ratios and...

In this study, we examine financial reporting lags, the incidence of late filing, and the relationship between reporting lags, firm performance and the degree of capital market scrutiny. We use a large sample of firms spanning 22 countries over a eleven-year period. A focal point of our analysis...