This paper uses machine learning tools to study the serial dependence (lead-lag relations) of commodity futures returns during the post financialization period (January 2004 – December 2019). We use LASSO (Least Absolute Shrinkage and Selection Operator) to select the predictors as the number...

This paper examines how the tournament-like progression in the CEO labor market influences corporate innovation strategies. By exploiting a text-based proxy for product innovation based on product descriptions from 10-Ks, we find a significant positive relation between industry tournament...

This paper identifies a trend factor that exploits the short-, intermediate-, and long-run moving averages of settlement prices in commodity futures markets. The trend factor generates statistically and economically large returns during the post-financialization period 2004-2020. It outperforms...