By examining data on the gold forward offered rate (GOFO) and lease rates over the period 1996- 2009, we conclude that the convenience yield of gold is better approximated by the lease rate than the interest-adjusted spread of Fama amp; French (1983). Using the latter quantity, we study the...

We study the performance of diamonds compared to gold and other precious metals in mitigating the tail risk of a diversified equity market portfolio over the period June 2007 to October 2018. Our results display a diversification benefit of some diamond indices, which also improve the portfolio...

In this paper, we give a broad overview of how commodity-related news affects several aspects of commodity markets. We examine the main commodity classes: energy, agriculturals and metals, as well as market responses to news: in terms of prices, returns, volatilities and fine features of prices,...