Empirical studies on price transmissions between North American and European agricultural futures neglect the period of financialization in the US commodity market, the increase of futures trading in Europe and the recent price turmoils. We fill this gap by analyzing the price dynamics of...

Many researchers seek factors that predict the cross-section of stock returns. The standard methodology sorts stocks according to their factor scores into quantiles and forms a corresponding long-short portfolio. Such a course of action ignores any information on the covariance matrix of stock...