Despite their widespread use as predictors of the spot price of oil, oil futures prices tend to
be less accurate in the mean‐squared prediction error sense than no‐change forecasts. This …

Guided by a macroeconomic model with endogenous commodity prices, we apply a new
factor-based identification strategy to decompose the historical sources of changes in …

In the earliest days of empirical work in academic finance, the size effect was the first market
anomaly to challenge the standard asset pricing model and prompt debates about market …

A commonly cited benefit of the classical gold standard is that it reduced borrowing costs by
signaling a country's commitment to financial probity. Using a new dataset, this paper tests …

Using a unique data set, this paper studies the relationship between market liquidity risk and
sovereign bond risk premia. The London Stock Exchange during the late 19th century is an …

We address some of the key questions that arise in forecasting the price of crude oil. What
do applied forecasters need to know about the choice of sample period and about the …

As financial firms have increased their positions in the oil futures market during the past ten
years, oil prices have increased dramatically as well. The coincidence of these two events …

We examine the relative predictive power of the sticky price monetary model, uncovered
interest parity, and a transformation of net exports and net foreign assets. In addition to bringing …

We develop a model of cross-border acquisitions in which the foreign acquirer's ownership
choice reflects a trade-off between easing the target's credit constraints and the costs of …

Motivated by a set of stylized facts, we develop a model of cross-border mergers and
acquisitions (M&As) to study foreign direct investment (FDI) in emerging markets. We compare …