In this study, we investigate the determinants of convenience yields across a broad range of commodities. We find that the convenience yields of commodities are exposed to both commodity-specific and systematic factors, but to a different extent. The difference in explanatory power of these...

We contribute to the literature by analyzing forecast combination methods in the context of machine learning to predict equity returns. Whilst individual models lack robustness, forecast combinations display stability and are able to produce improved results with Sharpe ratios up to 3.16. We use...

We comprehensively analyze the predictive power of several option implied variables for monthly S & P 500 excess returns and realized variance. The correlation risk premium (CRP) emerges as a strong predictor of both excess returns and realized variance. This is true both in- and out-of-sample....

We comprehensively analyze the predictive power of several option-implied variables for monthly S&P 500 excess returns and realized variance. The correlation risk premium (CRP) and the variance risk premium (VRP) emerge as strong predictors of both excess returns and realized variance. This is...

We examine long memory volatility in the cross-section of stock returns. We show that long memory volatility is widespread in the United States and that the degree of memory can be related to firm characteristics, such as market capitalization, book-to-market ratio, prior performance, and price...

This paper studies comovements in commodity futures markets. We compare factor models with respect to their fit of commodity return comovements. A model based on traded long-short portfolio returns outperforms a macroeconomic model, and explains 96% of the realised comovement. Dissecting the...

Which factor model do investors in corporate bonds use? We examine this question by tracking investors' decisions to invest in actively managed corporate bond mutual funds with a revealed preference approach. Our main result is that all bond factor models are dominated by the simple Sharpe...