Interpreting accruals as working capital investment, we hypothesize that firms optimally adjusttheir capital investment in response to discount rate changes. Consistent with the discount-ratehypothesis, we document that (i) the predictive power of accruals for future returns increaseswith the...

Since 2000 a number of factors impacted agricultural markets drastically. Among these are structuralchanges in global demand and repeated supply constraints that supported the observed positive development ofagricultural prices. Given the increasingly interdependent global markets, the question...

Gasoline (GA) and kerosene (KO) are extracted from crude oil (CO), such that the three fuel commodities share a chemical link. On the other hand, GA also shares an industrial link with natural rubber (NR) and palladium (PA) as complementary commodities that are heavily consumed by the automobile...

We investigate cross-market trading dynamics in futures contracts written on seemingly unrelated commodities that are consumed by a common industry. On the Tokyo Commodity Exchange, we find such evidence in natural rubber (NR), palladium (PA) and gasoline (GA) futures markets. The automobile...

This dissertaion is comprised of two essays on econometric evaluation of models of commodity futures prices. The first essay develops a frequency- domain volatility bound approach that can be used to evaluate possibly mis-specified models. The proposed method allows us to detect model failures...

University of Minnesota Ph.D. dissertation. June 2011. Major: Business Administration. Advisor: Robert S. Goldstein. 1 computer file (PDF); ix, 117 pages, appendices p. 110-117.