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Speculators, commodities and cross-market linkages

Büyükşahin, Bahattin; Robe, Michel A. - In: Journal of International Money and Finance 42 (2014) C, pp. 38-70

We use a unique, non-public dataset of trader positions in 17 U.S. commodity futures markets to provide novel evidence on those markets' financialization in the past decade. We then show that the correlation between the rates of return on investible commodity and equity indices rises amid...

Persistent link: https://www.econbiz.de/10011048477

Quel impact des nouveaux spéculateurs sur les prix agricoles ? Une analyse empirique des fonds d’investissement

Cordier, Jean; Gohin, Alexandre - Laboratoire Études et Recherches Économiques … - 2012

The financial development of agricultural markets is not recent. But, starting early 2000, a large amount of investments on commodity markets, including agriculture, have been realized using innovative instruments. And in 2007-08, the continuous increase of investment was simultaneous with...

Persistent link: https://www.econbiz.de/10011114826

Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity : Evidence from the CAC 40 Index

Gresse, Carole; Deville, Laurent; De Séverac, Béatrice - Université Paris-Dauphine (Paris IX) - 2014

spot-futures price efficiency improvement observed after ETF introduction is explained either by the direct effect of ETF … shares being used in arbitrage trades or by the indirect effect of ETF trading improving the liquidity of index stocks in the … way index traders distribute across index markets, with the ETF market absorbing the liquidity demand from some hedgers or …

Persistent link: https://www.econbiz.de/10010799319

Did Reform of Prudent Trust Investment Laws Change Trust Portfolio Allocation?

Schanzenbach, Max M. - 2008

This paper investigates the effect of changes in state prudent trust investment laws on asset allocation in noncommercial trusts. The old prudent-man rule favored quot;safequot; investments and disfavored quot;speculationquot; in stock. The new prudent-investor rule directs trustees to craft an...

Persistent link: https://www.econbiz.de/10012774345

The Smoothing of Pension Expenses : A Panel Analysis

Jiang, Xiaowen - 2010

This study utilizes recent developments in panel data techniques to evaluate whether the smoothing of pension expenses is neutral in its long-term effect on reported earnings. Adopting a long-term perspective, the empirical analysis also identifies sources of potential deviations. Results...

Persistent link: https://www.econbiz.de/10012757571

Impact of Pension Plan Funding Status on M&A Activity

Kumar, Jayesh - 2012

This study examines the role of pension plan funding status on Mamp;A activity of acquiring/target firms in a large sample of UK corporations. We exploit the funding status of the defined benefit pension plans in order to identify, the dependence of corporate activity in mergers and acquisition...

Persistent link: https://www.econbiz.de/10012713203

Abnormal Returns in Equity Markets : Evidence from a Dynamic Indexing Strategy

Alexander, Carol - 2003

This paper investigates the abnormal return generated through a dynamic equity indexing strategy and the extent to which this can be considered evidence against the efficient markets hypothesis. We introduce a new measure of stock price dispersion and show that it is a leading indicator for the...

Persistent link: https://www.econbiz.de/10012740122

Pension funds and Market Efficiency: A review

Thomas, Ashok; Spataro, Luca - Dipartimento di Economia e Management, Università … - 2013

The literature on the relationship between pension funds development and market efficiency has been flourishing in the past decades. In this paper we provide an updated review of the theoretical and empirical advances in this field of study, with particular focus on the effects that pension...

Persistent link: https://www.econbiz.de/10010933012

Pension funds and Stock Market Volatility: An Empirical Analysis of OECD countries

Thomas, Ashok; Spataro, Luca; Mathew, Nanditha - Dipartimento di Economia e Management, Università … - 2013

The paper explores the empirical relationship between the share of pension fund s’assets invested in stocks and stock market volatility in OECD markets. For this purpose, by using panel data of 34 OECD countries from 2000 to 2010, we estimate both a random effects panel model and a...

Persistent link: https://www.econbiz.de/10010933028

The determinants of international commercial real estate investments

Lieser, Karsten; Groh, Alexander P. - IESE Business School, Universidad de Navarra - 2011

We examine the determinants of commercial real estate investments using a unique set of panel data series for 47 countries worldwide, ranging from 2000 to 2009. We explore how different socio-economic, demographic and institutional characteristics affect commercial real estate investment...

Persistent link: https://www.econbiz.de/10009320553

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