The commodity futures basis—the difference between the first and second futures prices—is known to forecast commodity futures returns, arguably through its relation with the convenience yield. We propose a refined measure of the basis, dubbed the relative basis, which is the difference...

This paper studies the dynamic interaction between the net positions of traders and risk premiums in commodity futures markets. Short-term position changes are mainly driven by the liquidity demands of non-commercial traders, while long-term variation is primarily driven by the hedging demands...

We conduct a comprehensive analysis of the New York Stock Exchange (NYSE) limit order book at both the aggregate market level and the individual stock level based on a sample covering all the NYSE ordinary stocks. By providing detailed description of the limit order book, we show that it...

This paper examines the contribution of closing pressure and predatory trading to the formation of the negative settlement price of NYMEX West Texas Intermediate (WTI) Crude Oil futures on April 20, 2020. We construct a theoretical model and show that the eagerness to close long positions,...

We study the risk exposure of liquidity portfolios to labor income and consumption risk in the long run using a dynamic general equilibrium model that features flexible labor-leisure choice and recursive utility. We find that investors are willing to pay price premium for liquid stocks because...

The value investment strategy has been in the limelight since the 1930s but has faced challenges recently. We find that, while the last two decades have seen vanishing profits from value investing in the U.S., the value strategy remains successful in China’s A-share market, the second-largest...

This paper examines exchange rate behavior during the recent period with negative nominal interest rates. We use a daily panel of data on 61 currencies from January 2010 through May 2016, during which five economies - Denmark, the European Economic and Monetary Union, Japan, Sweden, and...

This paper describes a project which uses the quality‐function‐deployment technique to improve a distance‐learning program, operated by a government training organization in Hong Kong, for junior staff in the clothing‐manufacturing industry. The scope of this study is twofold: it...

An exploratory survey of the Hong Kong coloration industry revealed that conformance is the key attribute of quality, but the maturity of quality management mainly resides at the stage of inspection. The larger the dyehouse, the more mature the quality system that was adopted. The generic...