Working paper

Auteur(s) : Adrian Fernández-Pérez
This article studies the relation between skewness and subsequent returns in commodity futures markets. Systematically buying commodities with low...

Auteur(s) : Hilary Till
Is roll yield still a useful concept in evaluating crude oil futures markets? This is a timely question because of (a) scepticism on the benefits of...

Auteur(s) : Joëlle Miffre
This article reviews recent academic studies that analyse the performance of long-short strategies in commodity futures markets. Special attention is...

Auteur(s) : Michel Brocard
We discuss in particular the case of U.S. domestic hedge funds set up as a limited partnership as well as...

Auteur(s) : Juha Joenvaara
Instead we find a positive log-linear relation between the number of constituent funds in a fund of hedge...

Auteur(s) : Noel Amenc
They also claim that similar results are obtained by any random portfolio strategy, including the inverse of...

Auteur(s) : Adrian Fernandez-Perez
As a result, equities with positive skews tend to be overpriced and thus offer low expected returns, while...

Auteur(s) : Hilary Till
In answering this question, this paper will cover the following three considerations: (1) the case for...

Auteur(s) : Hilary Till
This article will argue the answer is yes, and we will discuss the circumstances when this has been the case...

Auteur(s) : Noel Amenc
While there is a consensus on the factors that are rewarded over the long term, it must be acknowledged that the implementation of factor investing,...

Auteur(s) : Hilary Till
The paper specifically covers (a) the long-term return sources for both managed futures programs and for...

Auteur(s) : Timotheos Angelidis
A relatively high return dispersion predicts a deterioration in business conditions, a higher value premium...

Auteur(s) : Joelle Miffre
It also demonstrates that a pricing model based on innovations to the backwardation versus contango risk...

Auteur(s) : Chris Brooks
We employ a long-only equally-weighted portfolio of commodity futures and a term structure portfolio that...

Auteur(s) : Adrian Buss
In this paper, we study asset allocation and asset pricing in a general-equilibrium model with liquid assets...

Auteur(s) : Carlos Heitor Campani
Even if one correctly uses the net present value criterion for capital budgeting, we show that it fails for...

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