In its recent report, the expert committee on commodity futures concludes that futures trade in India has increased the price volatility of largely traded commodities (urad, chana, wheat) during periods of excess liquidity. It finds an increase in prices for commodities that have small market...

The authors analyze the structure of the market quotation of financial assets and come to the conclusion that one of its components is a financial asset identical with a commercial credit. Hence, in terms of the Islamic financial system any financial asset is inappropriate for investment because...

Over the past two decades the Ohlson Residual Income Model for equity valuation has drawn much attention concerning its advantages when compared to traditional models (DDM, FCFM). This paper attempts to empirically investigate the validity of the Ohlson Residual Income model using data from the...

A deep-ingrained doctrine in asset pricing says that if an empirical characteristic-return relation is consistent with investor “rationality,” the relation must be “explained” by a risk (factor) model. The investment approach questions the doctrine. Factors formed on characteristics are...

This paper examines whether the aggregate investments in corporate equity in the U.S. yield lowering per-unit return for the period 1950-2009. We measure the per-unit return on aggregate equity investment as the ratio of the annual aggregate value of after-tax corporate profit of nonfinancial...

The paper argues that bond investors (and, implicitly large creditors in general), may not necessarily demonstrate the “Investors' Smartness” that some previous studies attributed to large institutional holders, when it comes to pricing-in for economic shocks likely to occur in future. This...

This paper exploits information contained in cross-sectional PEG ratios to extract estimates of the market's expectations for aggregate returns and economic fundamentals. By combining the loglinear present-valuation model and the Capital Asset Pricing Model (CAPM) logic, we establish a theoretic...

We propose a theory of asset prices that emphasizes heterogeneous information as the main element determining prices of different securities. Our main analytical innovation is in formulating a model of noisy information aggregation through asset prices, which is parsimonious and tractable, yet...

This paper finds significant evidence that commodity price changes can predict industry-level returns for horizons between one trading day and up to six trading weeks (30 days). We find that for the 1985-2010 period, 40 out of 49 U.S. industries can be predicted by at least one commodity. Our...

Central Counterparties (CCPs) are widely promoted as a requirement for safe banking with little dissent except on technical grounds (such as proliferation of CCPs). Whilst CCPs can have major operational positives, we argue that CCPs have many of the business characteristics of Rating Agencies,...