This study examines individual commodity futures price reactions to large one-day price changes, or 'shocks'. The mean-adjusted abnormal return model suggests that investors in 6 of the 18 commodity futures examined in this study either underreact or overreact to positive surprises. It also...

This article empirically studies the pricing kernel implicit in option prices. Based on the cross-sectional fits alone, no significant difference can be detected between models with different factor dynamics. A cubic pricing kernel provides almost perfect fits in the sample. Nonlinearity in the...

With a view to providing economic interpretations of temporal changes in Risk-Neutral Probability Distributions (RNPDs), this article estimates RNPDs from option prices, then studies the expected excess returns on a fixed-strategy reference portfolio constructed from RNPD-defined contingent...