We estimate a discrete approximation of the risk-return trade-off for the US market by using the whole universe of stocks from July 1963 to September 2017. We find the relationship between return and risk to be time-varying and also dependent on the level of risk considered. The proposed...

In this paper, we study commodity pricing, commodity price volatility and predictability. Our emphasis is on the econometric identification of market expectations about the convenience yield and of discount rates dynamics. To explain commodity prices and return volatility, we consider both a...

This paper examines the Silver Crisis of the late 1970s, which resulted in a $150 million lawsuit against the Hunt Brothers. In August 1988, the Hunt Brothers were found guilty by a jury of conspiracy, manipulation, monopolization, racketeering and fraud. Using a behavioural model, we aim to...

On the 30th anniversary of the seminal article by Pindyck (1993), we re-evaluate the evidence for the classical rational model of commodity prices, extending it to admit time- varying discount rates, investors’ heterogeneity or both. Discount factors specifications are flexible enough to allow...