This paper considers whether there were periodically collapsing rational speculative bubbles in commodity prices over a forty year period from the late 1960s. We apply a switching regression approach to a broad range of commodities using two different measures of fundamental values – estimated...

This paper reexamines contrarian trades as a proxy of informed trades. Empirical analysis is applied to intraday trade and quote data of the Chinese CSI300 index component stocks over 2012-2014. By dividing each trading day into 48 5-minute intervals and employing this measure for all intervals...

This paper constructs the synthetic stocks with put-call parity and compares the overnight and intraday returns of the synthetic and actual stocks in Chinese markets. The synthetic stocks have higher (lower) overnight (intraday) returns than the underlying stocks. We relate the findings to the...

In this paper we introduce a new two-factor commodity term structure model for which inventories serve as a second state variable. We derive a closed-form formula for futures prices and empirically analyze the model's properties. Besides being economically appealing, our model also outperforms...

We analyze the risk premia embedded in the S&P 500 spot index and option markets. We use a long time-series of spot prices and a large panel of option prices to jointly estimate the diffusive stock risk premium, the Price jump risk premium, the diffusive variance risk premium and the variance...