This paper develops an empirical cost of carry model for pricing crude oil futures by introducing an exogenously conditioned convenience yield as well as stochastic volatility. The approach is tested using monthly prices of all light crude oil futures contracts traded on the New York Mercantile...

We jointly re-specify the relative purchasing power parity (RPPP) and uncovered interest rate parity (UIP) conditions as the (log) ratio of stochastic discount factors by inverting the market price of risk formula. Our empirical model provides new insights, which show that violations to UIP and...

This volume, dedicated to John W. Kensinger, explores a variety of topics in financial economics, including firm growth, investment risks, and the profitability of the banking industry. With its global perspective, Essays in Financial Economics is a valuable addition to the bookshelf of any...

This volume, dedicated to John W. Kensinger, explores a variety of topics in financial economics, including firm growth, investment risks, and the profitability of the banking industry. With its global perspective, Essays in Financial Economicsis a valuable addition to the bookshelf of any...

Using a unique money manager database that allows managers to identify their own investment styles, we examine 4,754 non mutual fund value- and growth-oriented portfolios over the period 1999-2003. Consistent with style definitions, we find that on average, growth funds have price-earnings...