This paper finds that, concurrent with the rapid growing index investment in commodities markets since early 2000s, futures prices of different commodities in the US became increasingly correlated with each other and this trend was significantly more pronounced for commodities in the two popular...

This paper finds that concurrent with the rapid growing index investment in commodities markets since early 2000s, futures prices of different commodities in the US became increasingly correlated with each other and this trend was significantly more pronounced for commodities in the two popular...

"This paper finds that, concurrent with the rapid growing index investment in commodities markets since early 2000s, futures prices of different commodities in the US became increasingly correlated with each other and this trend was significantly more pronounced for commodities in the two...

We argue that the CAPM may be a reasonable model for estimating the cost of capital for projects in spite of increasing empirical evidence in the literature against the CAPM based on stock returns. As McDonald and Siegel (1985) and Berk, Green and Naik (1999) point out, stocks are backed by...

This paper examines the informativeness of analysts' target price forecasts by relating the investment value of target prices to their primary drivers. Decomposing target price forecasts into near-term earnings forecasts and price-to-earnings ratio forecasts, we show that target price revisions...

We study the determinants of corporate investment growth in the U.S. We use accounting identities to develop a system in which unexpected changes in investment growth are decomposed into surprises to current earnings growth, surprises to current stock returns, revisions of expectations about...