In this paper, we show that the historically unmatched economic performance experienced by developed countries over the past 60 years was supported by temporary and abnormal demographic conditions: extraordinary growth in the working-age population supporting both a plunging roster of young...

This article uses the Expectations Hypothesis (EH), one of the oldest theories in finance, to extract the information contained in the term structure of commodity futures prices. Under the powerful framework provided by the EH, we find a significant amount of predictability in commodity futures...

This article explores an alternative definition of momentum that is calculated using the idiosyncratic returns from market regressions. By removing the return component due to market beta exposure, this new definition of momentum reduces the volatility of momentum strategies and generates...

Term premiums, defined as the excess return of long-dated contracts over short-dated contracts, in commodity futures are strongly predictable, both in the time series and in the cross section, by roll yield spreads. Strategies that exploit this predictability show sizable Sharpe ratios and are...

Contrary to naïve expectations, we find that moderate rather than rock-bottom levels of inflation and real interest rates are associated with lofty valuation multiples. Moderate levels create a valuation “mountain,” which is evident not only in the U.S. stock market but in the stock markets...