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...

Investors who want to profitably trade stocks which they believe to be undervalued or overvalued are facing not just transaction costs: also cash constraints and short-selling restriction can hinder them. Intuitively, the more onerous friction may seem to be short-selling: borrowing shares from...

Investors who want to profitably trade stocks which they believe to be undervalued or overvalued are facing not just transaction costs: also cash constraints and short-selling restriction can hinder them. Intuitively, the more onerous friction may seem to be short-selling: borrowing shares from...

CAPWe show that the results of a CAPM test are quite sensitive to the details of the test design. Especially crucial are the aspects related to the weight one gives to small, low-reputation stocks when constructing both the factor portfolios and the test or style portfolios whose returns are to...

Assuming that asset markets are complete and arbitrage-free, the exchange rate can be expressed in terms of observables in a multicountry, multigood general equilibrium economy. In contrast to existing models of the exchange rate, this general model allows for international differences in...

Investors who want to profitably trade stocks which they believe to be undervalued or overvalued are facing not just transaction costs: also cash constraints and short-selling restriction can hinder them. Intuitively, the more onerous friction may seem to be short-selling: borrowing shares from...