We propose a method to overlay the tone of commodity-specific newswires upon the commodity characteristics traditionally used in long-short portfolio allocations. Implementing the tone-overlay strategy on 26 commodities generates substantial risk-adjusted profitability gains relative to the...

The article appraises the role of spot market auction data in the discovery process of the price of whole milk powder, whose futures contracts are cash-settled to Global Dairy Trade (GDT) auction prices. We find that price discovery in the whole milk powder market primarily takes place in the...

We contribute to the literature on the diversification benefits of commodity futures by integrating it with the literature on style integration. Our work augments the traditional asset mix of investors with a long-short portfolio that integrates the styles that matter to the pricing of commodity...

This article examines the role of nonnormality risks in explaining the momentum puzzle of equity returns. It shows that momentum profits are not normally distributed and, relatedly, that the momentum profitability is partly a compensation for systematic negative skewness risk in line with market...

<heading id="h1" level="1" format="inline" implicit="no">Abstract: </heading>This paper uses a conditional multifactor model and shows that the basis of foreign currency instruments includes a time-varying risk premium that is related to the conditional risk of the basis and to the conditional prices of systematic risk present in all assets markets. The...

This study assesses whether the widely documented momentum profits can be attributed to time-varying risk as described by a GJR-GARCH(1,1)-M model. We reveal that momentum profits are a compensation for time-varying unsystematic risks, which are common to the winner and loser stocks but affect...