The use of corn for ethanol has been the topic of heated discussions in the media and among policy makers. As part of this debate, some observers have argued that the use of corn in the production of ethanol has had adverse effects on corn prices. This paper contributes to this reviving debate...

The main goal of this paper is to examine the conditional pricing effect of return dispersion on the cross section of returns. We observe a systematic conditional relation between dispersion and return even after controlling for market, size and book-to-market factors. However, we find that...

This study examines portfolio diversification benefits in the frontier Gulf Cooperation Council (GCC) stock markets, using two diversification measures: the correlation index and return dispersion. The findings suggest a strong link between market volatility and the cross-sectional distribution...

The main goal of this paper is to examine whether oil price risk is systematically priced in the cross-section of stock returns in net oil-exporting countries even after controlling for market and firm-level risk factors. Using firm-level data from the Gulf Arab stock markets, we find that...

This study examines the relationship between investor sentiment and intraday return dynamics for safe haven assets, with particular focus on crash risk in these assets. Examining intraday returns for a wide range of safe havens proposed in the literature, we find that shocks to investor...

We examine the predictive power of market-based indicators over the positive and negative stock market bubbles via an application of the LPPLS Confidence TM Multi-scale Indicators to the S&P 500 index. We find that the LPPLS framework is able to successfully capture, ex-ante, some of the...