In this paper, we examine the temporal stability of the evidence for two commodity futures pricing theories. We investigate whether the forecast power of commodity futures can be attributed to the extent to which they exhibit seasonality and we also consider whether there are time varying...

The article examines whether commodity risk is priced in the cross-section of global equity returns. We employ a long-only equally-weighted portfolio of commodity futures and a term structure portfolio that captures phases of backwardation and contango as mimicking portfolios for commodity risk....

This paper considers whether there were periodically collapsing rational speculative bubbles in commodity prices over a forty year period from the late 1960s. We apply a switching regression approach to a broad range of commodities using two different measures of fundamental values – estimated...

This study considers the relationship between trading volumes, transactions costs, and the profitability of momentum strategies using data from the UK. We demonstrate that round-trip transactions costs for selling loser firms are around double those of buying winners, and in particular, the...

This article provides new evidence on the important role of institutional investors in affecting corporate strategy. Institutional cross-ownership between two firms not only increases the probability of them merging, but also affects the outcomes of mergers and acquisitions (M&As). Institutional...

In this paper we determine whether speculative bubbles in one region in the US can lead bubbles to form in others. We first apply a regime-switching model to determine whether speculative bubbles existed in the US regional residential real estate markets. Our findings suggest that the housing...

This paper proposes and tests a new framework for weighting recursive out-of-sample prediction errors in accordance with their corresponding in-sample estimation uncertainty. In essence, we show how as much information from the sample as possible can be used in the evaluation of prediction...

This paper examines the dynamics of the residential property market in the US between 1960 and 2011. Given the cyclicality and apparent overvaluation of the market over this period, we determine whether deviations of real estate prices from their fundamentals were caused by the existence of two...

This paper examines the dynamics of the residential property market in the United States between 1960 and 2011. Given the cyclicality and apparent overvaluation of the market over this period, we determine whether deviations of real estate prices from their fundamentals were caused by the...

While the effects of emotions on attitudes to investment risk are now well documented, the influence of personality factors has been much less researched. This paper examines the role of personality traits in determining financial risk tolerance. Using an extensive survey of UK-based retail...