Evidence suggests that rational, periodically collapsing speculative bubbles may be pervasive in stock markets globally, but there is no research that considers them at the individual stock level. In this study we develop and test an empirical asset pricing model that allows for speculative...

The European Union Emissions Trading Scheme is the key policy instrument of the European Commission's Climate Change Program aimed at reducing greenhouse gas emissions to 8% below 1990 levels by 2012. The key asset traded under the scheme is the European Union allowance (EUA). This article...

We use the daily data of 16 commodity futures contracts traded in China and corresponding foreign markets (the US, the UK, Japan, and Malaysia) to analyze the linkages between markets. Several findings are noteworthy. First, trading returns of foreign markets, such as the US, have significant...

This paper studies the spot and futures cross-market efficiency implications of the regulatory short-selling constraints imposed during the 2008–2009 financial crisis. We find that the equilibrium position for the basis during the ban period is below that normally seen, with the spot price...

We use DCC-TGARCH-M to study asymmetries in the conditional variance in FTSE100 spot and futures returns before and after cost-reducing market microstructure changes on the London Stock Exchange and the London International Financial Futures Exchange. We find bidirectional causality-in-mean and...

This paper investigates the impact of the local and the US monetary policy environments on stock returns at the different locations on the return distributions. Using data for stock returns and interest rates of 30 countries, the quantile regression technique is employed to estimate the...

In this paper the differences between forward and futures prices for the UK commercial property market are analyzed, using both time series and panel data. A first battery of tests establishes that the observed differences are statistically significant over the study period. Further analysis...

This paper examines the ability of several different continuous-time one- and two-factor jump-diffusion models to capture the dynamics of the VIX volatility index for the period between 1990 and 2010. For the one-factor models we study affine and non-affine specifications, possibly augmented...

This study explores how a firm's credit risk affects accounting based valuation of the firm, of its equity and of its debt. The valuation model integrates fundamental equity and credit analysis and, under appropriate conditions, abides by the value conservation principle even in the presence of...

We show that combining momentum and trend following strategies for individual commodity futures can lead to portfolios which offer attractive risk adjusted returns which are superior to simple momentum strategies; when we expose these returns to a wide array of sources of systematic risk we find...