The relationship between energy and stock prices is investigated in the context of Asia, including China and Japan. Oil, gas and coal prices are considered both individually and in an energy portfolio. Consistent with evidence from analysis of other asset prices in international markets, during...

One reason that investors hold commodities is to receive diversification benefits. However, while an extensive set of existing studies demonstrate diversification benefits when investors hold international stocks or bonds, they are generally silent on the implications of holding commodities....

Many trading, investing and structured product applications require narrow, liquid basket that efficiently track the market. In this paper, we examine tracking efficiency and turnover of highly liquid baskets, which track the investable European stock market as represented by the S&P Europe 350...

Since private equity investments are not publicly traded, a key issue in measuring investment risks of institutional private equity investors arises from a careful measurement of investment returns in the first place. Prices of private equity investments are typically observed at low frequency...