Our objective in this paper is to examine whether one can use option-implied information to improve mean-variance portfolio selection with a large number of stocks, and to document which aspects of option-implied information are most useful for improving the out-of-sample performance of...

We propose to compute the implied expected returns from several candidate mean-variance efficient portfolios, exploiting the fundamental relation between the expected returns, covariance matrix and the corresponding set of mean-variance efficient portfolios. Over the 1987-2012 period and for the...

This study examines volatility spillover dynamics among the S&P 500 index, the US 10-year Treasury yield, the US dollar index futures and the commodity price index. The focus of the study is to analyze effects of Fed's unconventional monetary policy on the US financial markets. We use realized...

This study examines the oil price risk exposure of U.S. financial and non-financial industries over the period of January 1983 to March 2015. We include the oil price risk factor into the Fama and French five-factor asset pricing model and identify the structural breaks in the equity returns...

“Issues in Benchmarking Commodity Performance” is a chapter for the book Commodities: Markets, Performance, and Strategies edited by H. Kent Baker, Greg Filbeck, and Jeffrey H. Harris. The book provides a detailed look at physical commodity markets and the investment vehicles available to...

Climate change is making resources scarce, and our investments to build a new net-zero world are driving an insane demand for resources. This leaves the world economy caught between a rock and a hard place. Using a bankruptcy model with conservative estimates of the impact, we estimate public...

We investigate the sources of time-variation in the stock-oil correlation over the period 1983-2019. We first derive a novel oil futures return news decomposition following Campbell and Shiller (1988) and Campbell (1991). Then, for both stocks and oil, we split unexpected returns into cash flow...

In this paper, we forecast excess stock returns of S&P 500 index from January 1997 to December 2012 using both well-known traditional macroeconomic indicators and oil market variables. Based on a dynamic model selection approach, we find that the forecasting accuracy can be improved after adding...

Energy policy uncertainty - as measured by uncertainty about a U.S. President signing an energy related executive order in the future - covaries positively with corporate investment and aggregate consumption growth, and its innovations carry a negative price of risk. I propose and test a...