We identify a strong presence of sentiment exposure in commodity futures returns. Sentiment is able to provide additional explanatory power for comovement among commodity futures beyond the macro- and equity-related sources. Commodity futures with low open interest growth, high volatilities, low...

We model the immediate responses of firms’ daily idiosyncratic stock returns to the idiosyncratic returns of the firms’ rivals, using spatial econometric techniques. Contagion effect of rivals dominates competitive effect, and the net effect is larger when firms respond to negative return...

We study the implications of interfirm product market linkages for dependence among the daily stock returns of US publicly traded firms using a spatial econometric regression. The effects of rivals and major customers change with various characteristics related to the product market network. We...