The LME is a major international commodity exchange for industrial metals. Both futures contracts and spot metals are traded there, and the textbook principle of the futures-spot convergence precisely holds there. In this paper, we formulate two claims about spot and futures return prediction....

Although the Fama and French's three factor model is now the most popular replacement for CAPM in corporate finance and investment management, the exclusion of financial firms can be questioned on both theoretical and empirical grounds. Financial firms are around 19 percent of the value of the...