Our empirical analysis unveils a striking uniformity between the returns of Canadian federal and provincial bonds. Furthermore, the return spreads between these debt instruments are shown to be white noise. Relying on tests for mean-variance spanning, we also show that market participants are...

This papers results indicate that futures for crude oil, natural gas and unleaded gasoline fail to enhance the performance of representative energy stocks in terms of return to risk, but do decrease the overall level of risk exposure borne by passive equity investors. Our findings suggest that...

Regression-based testing techniques has long been used to quantify whether the efficient frontier of a set of assets spans the frontier of a larger collection of investments. This work derives regression-based spanning tests for the case in which the investment possibilities set contains, or is...