Industry uncertainty networks extracted from option prices contain valuable information for business cycles. Classifying U.S. industries according to their contribution to system-related uncertainty, we uncover an uncertainty hub role for the communications, financials, IT and real estate...

We contribute to the literature on the diversification benefits of commodity futures by integrating it with the literature on style integration. Our work augments the traditional asset mix of investors with a long-short portfolio that integrates the styles that matter to the pricing of commodity...

The paper uses linear and nonlinear predictive models to study the linkage between a set of 128 macroeconomic and financial predictors and the risk premium of commodity futures contracts. The linear models use shrinkage methods based on either naive averaging or principal components. The...

We find that the acquisition of private information is associated with an improvement in market liquidity. An empirical analysis of search activity through EDGAR as a proxy for information acquisition provides evidence for a theoretical gap in market microstructure models. We also find EDGAR...

We examine the information content of managed fund ratings for Australian retail investors. Because fund ratings, premised on a quantitative-qualitative model, are highly transitory, we question whether investors formulate their investment decisions with respect to changes in ratings and whether...