This paper studies optimal calendar spreads in commodity futures markets while taking into account a stochastic convenience yield. We show that a convenience yield imperfectly correlated with the spot commmodity price results in an optimal strategy composed of two commodity futures contracts....

Equity market interactions with their the option markets are modeled using a two state hidden Markov model permitting transitioning between states when the asset market leads and when the option markets lead. Data on S&P 500 returns and returns on the VIX are employed to filter state...

After a market downturn, especially in an uncertain economic environment such as the current state, there can be a relatively long period with a sideways market, where indexes, stocks, etc., move in channels with support and resistance levels. We discuss option pricing in such scenarios, in both...

This paper investigates whether security markets price the effect of social distancing on firms' operations. We document that firms that are more resilient to social distancing significantly outperformed those with lower resilience during the COVID-19 outbreak, even after controlling for the...

This paper documents that development exposure is an important determinant of private real estate returns and market risk exposure. It also documents that open-end private real estate funds have time-varying, procyclical market risk exposure through their development activities. As such, these...

The term structure of equity risk has been shown to be downward sloping. We capture this feature using return dynamics driven by both a transitory and a permanent component. We study the asset allocation and portfolio performance when transitory and permanent components cannot be observed and...

This paper takes the trade dataset of the value C and the volume V of executed transactions and regards relations C=pV as the only definition of the implemented price p. Any other price definitions, price models and forecasts form agents price expectations. Expectations force agents perform...

In the current paper, we examine the existence of possible threshold relationships in the commodity price – freight rate nexus, under or over which the relationship between the two changes. Using the first lag of the commodity price change as the threshold variable, we find that, in the case...

We examine whether climate change news risk is priced in corporate bonds. We estimate bond covariance with climate change news index and find that bonds with a higher climate change news beta earn lower future returns, consistent with the asset pricing implications of demand for bonds with high...

Levered and inverse ETPs are designed to provide geared long and short exposures to thedaily returns of different benchmark indexes. The benchmarks can be any reference index.The popular ones are on stocks, bonds, commodities and volatility. The problem with theseproducts is that they are not...