This paper shows that the risk-bearing capacity of U.S. securities brokers and dealers is a strong determinant of risk premia in commodity markets. Commodity derivatives are the principal instrument used by producers and consumers of commodities to hedge against commodity price risk....

This paper shows that the risk-bearing capacity of U.S. securities brokers and dealers is a strong determinant of risk premia in commodity markets. Commodity derivatives are the principal instrument used by producers and consumers of commodities to hedge against commodity price risk....

This paper provides an innovative theoretical model and empirical evidence for how the illiquidity of corporate bonds, as trading noise, dampens firm-specific information incorporated into bond prices. We find a negative relation between bond illiquidity and synchronicity, and this empirical...

I investigate whether or not the multi-period trades of financial institutions cause mispricing in the stock market. After controlling for the magnitude and trends in institutional trades, I find evidence consistent with institutional trades pushing prices away from fundamentals. Stocks heavily...

The FTSE/JSE Top 40 Index is the flagship index at the Johannesburg Stock Exchange (JSE). It captures more than 80% of the total market capitalisation of all the shares listed on the JSE. It is tradable and the liquid ALSI future is listed on this index. A superficial view of the long-term...

This research considers the strategies on the initial public offering of company equity at the stock exchanges in the imperfect highly volatile global capital markets with the nonlinearities. We provide the IPO definition and compare the initial listing requirements on the various markets. We...

Appendix is available at: "https://ssrn.com/abstract=3395415" https://ssrn.com/abstract=3395415Identifying firm connections by shared analyst coverage, we find that a connected-firm (CF) momentum factor generates a monthly alpha of 1.68% (t = 9.67). In spanning regressions, the alphas of...

Theoretical models imply fund size and performance should be negatively linked. However, empiricists have failed to uncover consistent support for this negative relation. Using a new econometric framework which includes fund-specific sensitivities to decreasing returns to scale, we find a both...

Using detailed information on establishments owned by U.S. public firms, we construct a novel measure of geographic linkage between firms. We show that the returns of geography-linked firms have strong predictive power for focal firm returns and fundamentals. A long-short strategy based on this...

We provide a psychological explanation for the delayed price response to news about economically linked firms. We show that the return predictability of economically linked firms depends on the nearness to the 52-week high stock price. The interaction between news about economically linked firms...