Nelson-Siegel factors extracted from the term structure of WTI oil futures predict subsequent WTI holding period returns both in-sample and out-of-sample. This predictability is not diminished by augmenting with macroeconomic indicators or oil market specific predictors. The term structure based...

This paper investigates the sources of both foreign exchange rate and interest rate exposure of industry level portfolios in the G7, decomposing exposure into cash flow and discount rate effects. Initial examination of the degree of exposure on industry returns produces results consistent with...

Financial bubble theories emphasize the importance of behavioral mechanisms cen- tered around investor beliefs, which can be potentially gleaned from prevailing nar- ratives, that reflect investors’ psychological states and link them to economic events. By summarizing market narratives into...

This paper investigates the sources of both foreign exchange rate and interest rate exposure of industry level portfolios in the G7, decomposing exposure into cash flow and discount rate effects. Initial examination of the degree of exposure on industry returns produces results consistent with...