This study investigates the determinants of profitability of U.S. commercial banks in the 1970s and 1980s. It is established that banks, depending on their size, may need to exercise greater control over a defined set of variables in order to maximize profits and/or minimize costs. Further, the...

We decompose US Treasury bid-ask spreads into inventory, adverse selection and order processing costs by using the fact that inventory trades have different effects on spreads than do proprietary trades. We exploit this asymmetry and develop a technique to identify the three components of the...

This paper tests for and provides evidence of nonlinear dependencies in palladium and platinum futures prices. The results indicate that ARCH-type processes, with controls for seasonality and contract-maturity effects, generally explain the nonlinearities in the data. We also present evidence...

Research in economics and finance documents a puzzling negative relationship between stock returns and inflation rate in markets of industrialized economies. The present study investigates this relationship for the developing markets of Peru and Chile. Fama's model of linkages between inflation...

Silicon has wide applications in the electronic, ferrous foundry and chemical industries but does not possess a well-developed forward or futures market. Here we investigate potential candidates to cross-hedge silicon's price risk. Our results show that a proxy for a newly introduced Chicago...

We conduct tests for the presence of low-dimensional chaotic structure in the futures prices of four important agricultural commodities. Though there is strong evidence of non-linear dependence, the evidence suggests that there is no long-lasting chaotic structure. The dimension estimates for...

We examine the risk-neutral moments of crude oil and their relationship to stock returns in the Petroleum and Natural Gas (PNG) industry. We find substantial overlaps in the association between returns and S&P 500- and crude oil higher moments. Net of these overlaps, PNG stocks share a...

We test for herding using data on aggregate trader positions for four commodities over 20 years. We show that while the positions of commodity traders are highly related, the relatedness falls short of herding. The cross-commodity relatedness in trader positions is almost entirely explained by...