ABSTRACT. Commodities have received attention as an alternative investment class in the recent years. However, the recent fall in commodity prices spur a question whether commodities should be included in portfolio investments. We therefor study if we can find a combination of stocks, bonds and commodities that dominate others by using second order stochastic dominance. We find that only gold and silver should be included as long positions.

ABSTRACT. We re-examine diversification benefits of investing in commodities and currencies by considering a risk-averse investor with mean-variance preferences who exploits the possibility of predictable time variation in asset return means, variances, and covariances. We find that, for all portfolio strategies, commodity and currency futures do not improve the risk-return trade-off of an investor with an existing portfolio of traditional assets (stocks and bonds), and an investment horizon of one-month.

ABSTRACT. We provide a performance analysis of the inclusion of commodity futures within both Fama-French equity-style portfolios and multi-asset portfolios derived from El-Erian's neutral asset mix portfolio.

ABSTRACT. The supply of allowances in the European Union Emissions Trading System is currently determined by a rigid allocation programme. The Market Stability Reserve (MSR) makes the allocation of allowances flexible and contingent on the aggregate bank, while preserving the overall emissions cap. We investigate under which conditions the MSR can alter the abatement and allowance price paths. We show that, for risk-neutral firms a cap-preserving MSR is largely irrelevant. The MSR will not influence the expected equilibrium allowance price or average price volatility. We then relax the risk neutrality assumption and investigate how the MSR can impact the risk of an unexpected breakdown of inter-temporal optimisation, ultimately affecting the equilibrium at different points in time. In this context, we show that changes to the timing of allowance allocation by the MSR can have a substantial impact on abatement and allowance price paths when firms are risk-averse.

ABSTRACT. We provide the first empirical analysis of the determinants of allowance prices on the New Zealand Emissions Trading Scheme (NZ ETS). Our results indicate that imports of offsets rather than fundamentals have been the major price determinant. Moreover, the pricing of New Zealand units (NZUs) can be placed into three distinct periods, delineated by two structural breaks. The case of the NZ ETS shows both the power of linking ETSs and the dangers of doing so.

ABSTRACT. We compare the sentiment of Tweets about climate change and the EU Emissions Trading Scheme (EU ETS) with high frequency price data for EU Emission Allowances (EUAs), energy and financial market data. Our first finding is that the sentiment of Tweets specifically concerned with the EU emissions market can help to predict EUA prices one day ahead. Second we find that while energy commodity prices can account for some of the movement of contemporaneous EUA prices they are not useful at predicting these changes. This indicates that the emissions market does assimilate new information from the energy market quickly but does not pay attention to market sentiment. Our third finding is that we do not find that the Twitter sentiment concering climate change (rather than specifically the carbon market) correponds with EUA returns. This indicates that the principal means by which the EU addresses climate change, (the EU ETS), does not seem to be of interest to Europeans tweeting about climate change, but sentiment measured from Tweets about carbon trading and the EU ETS does contain useful information.

ABSTRACT. In a recent theoretical paper Barone Adesi(2015)[4] shows how to extract the option implied VaR and CVaR. This is the rst empirical application of that paper. We extract the 2014-2015 daily option implied VaR and CVaR from the WTI crude oil future prices and the options written on it. Without relying on any distributional assumption we are able to backtest the CVaR values, thus proposing a coherent and elicitable risk measure. From a forecasting viewpoint a ratio of the two risk measures allows us to predict the probability density of jumps in the underlying price, which would have been unpredictable with standard inference methods

ABSTRACT. It has been recognized that model risk has as important eect on any risk measurement procedures, particularly in Energy Markets. We consider a normalized measure of model risk for the forecast of daily Value-at-Risk, recently introduced in the literature, and we combine it with a model selection and averaging procedure based on the Bayesian Information Criterion. This allows us to restrict the set of plausible models on a daily basis, making the initial choice of competing models less crucial and yielding a more reliable assessment of model risk. Using an AR-GARCH model for returns, with 9 different innovations distribution, we assess the dynamics of model risk for six different assets, including 3 commodities (electricity, oil and gas), in the period 2001-2015.

ABSTRACT. This paper studies risk assessment of alternative methods for a wide variety of Commodity ETFs. We implement recently proposed backtesting techniques for both VaR and expected shortfall under EVT, parametric, and semi-nonparametric techniques. We show that EVT and Gram-Charlier expansions have the best coverage and skewed-t and Gram-Charlier the best relative performance. We recommend the application of the mentioned distributions to mitigate regulation concerns about global financial stability.

ABSTRACT. Although price volatility in energy markets typically reflects supply, demand and inventory, the substitutability between fuels and investors' interest in commodities may create closer links between different energy markets, and their price volatilities. Furthermore, as a result of the liberalisation process, there may be closer links between energy and financial markets. This study investigates the associations between the UK natural gas market and other energy and financial markets using multivariate GARCH models and daily data from the spot markets from January 2, 2000, to May 22, 2015. Bivariate BEKK and DCC models allow for spillovers and interactions among energy markets, asymmetries and dynamics in the fundamental values, as proxied by the interest-adjusted spread between spot and futures prices. Overall, results confirm the relevance of fundamental values of supply, demand and inventory. In addition, they highlight the importance of business cycles and energy policy in leading volatility transmissions not only within energy markets, but also between energy and financial markets.

ABSTRACT. We examine whether extracting shale gas changed default rate of mortgages. We document that mortgages in the shale gas region after the shale gas boom are associated with a 58% decrease in default probability compared to the state average default rate. Our temporal analysis suggest that: (1) borrowers stopped defaulting on mortgages as soon as extracting shale gas became profitable nationwide; and (2) local fracking activities do not have additional impact on borrowers’ default decision.

ABSTRACT. Crude oil and natural gas prices decouple in the short term while they couple in the long term. We capture the long-term coupling and short-term decoupling behaviors of crude oil and natural gas prices. Using a state space model, we describe such time-varying relationship and allow for stochastic coefficients (e.g. capturing local linear trend, nonstationarity). As a result, our findings open the door to possible short-/long-term arbitrage strategies between crude oil and natural gas prices.

ABSTRACT. We examine the integration of spot and futures markets using matched, intraday data to avoid non-synchronous trading. We find highly integrated spot and futures markets. Economic shocks in spot markets are quickly transmitted to futures markets roughly one for one within minutes, consistent with market efficiency. We get similar evidence in the reverse direction. Findings indicate well-functioning, informationally efficient spot/futures oil markets, performing price discovery and risk transfer.

ABSTRACT. The paper examines the intraday relationship between realized volatility (RV) and trading volume (TV) for Oil and Gas markets. We decompose the realized volatility on its continuous and jump components. We employ a continuous wavelet transform in order to identify the coherence function and the lead–lag phase between TV-RV. We find bidirectional causality between TV-RV. We observe a difference across frequency on this relationship. This result is confirmed for the continuous component of RV.

ABSTRACT. This paper analyzes the pricing structure accounting for storage and trade of the two major crude oil benchmarks, West Texas Intermediate (WTI) in the U.S. and Brent in Europe. We identify a structural break in the relative spot prices of Brent and WTI in January 6, 2011 and identify a structural break in the inter-temporal futures prices relationships around the same time. We hypothesize the structural break is a consequence of U.S. fracking, a series of supply shocks in Europe, binding storage constraints, and the U.S. crude oil export ban. These potential explanations are studied in the context of a stylized model of world oil prices. The model is parameterized using actual data and calibrated to represent the situation pre-structural market. The model is then simulated to study the hypotheses and we compare results from the simulations with the situation observed after the structural break. We reproduce the stylized facts of the oil market pricing structure that are consistent with our hypotheses and find that the break in pricing structure is consistent with standard commodity storage theory.

ABSTRACT. This paper develops a model of the convenience yield arising from holding inventories. Using data on inventories and futures contract prices, I show that the convenience yield is inversely (positively) related to inventories (prices), exhibits seasonal/procyclical behaviors, and averages about 19% of the oil price from Mar 1989 to Nov 2014. Furthermore, I find that the proposed price-inventory relationship is stable despite an increased participation by financial investors after 2003.

ABSTRACT. We use granular data on every tanker that delivered seaborne crude oil into the United States during 2008-2012 to derive a proxy for the speculative floating inventory component. As predicted by theory, speculative floating inventory imported into the U.S. increased 2008–mid-2010 when the global supply response was constrained and then decreased to zero during the second half of 2010 and into 2011 when the U.S. was increasing its domestic production of crude oil even though the term structure of (globally determined) Brent futures prices remained in supercontango. These findings suggest that after taking into account nuanced developments in global oil supply due to new extraction technologies, wider availability of floating storage, and trading strategies associated with persistent upward-sloping patterns in the term structure of futures markets, extensions to canonical equilibrium speculative storage models deliver testable predictions that can be supported by empirical regularities present the data.

ABSTRACT. Since 2008, the usually negative oil futures spread has often been positive. We estimate monthly VARs on spread, inventories, consumption and volatility to study the futures curve. Results confirm bi-directional causation between inventory and spreads, and that consumption shocks transmit via inventory. Increases in implied volatility predict spreads. When we model negative and positive spreads separately, shocks to US oil consumption and increases in implied volatility steepen positive spreads.

ABSTRACT. Electricity markets experience increasing uncertainty under the influence of larger shares of volatile resources. We propose a multi-stage competitive equilibrium model for future electricity wholesale markets with a high share of volatile energy resources. The model is evaluated in an experimental heterogeneous agent-based setting, and we find evidence for downward biased forward prices and a component in the forward premium for an indirect storage convenience yield.

ABSTRACT. This paper proposes a closed-form structural model for the electricity market including stochastic divers (like load, plant availability, marginal costs for N technology classes, scarcity function) covering the entire fuel switch dynamics (esp. for N > 2). As an example application for the derived analytical formulas, we exhibit the assessment of a combined heat and power (CHP) generation unit in a stylised market environment with a five technology generation stack (N=5).

ABSTRACT. We use a large panel of commodity option prices to study the market price of variance risk. We find significantly negative variance risk premia in nearly all commodity markets. We document increasing comovements across bonds, commodities and equity variance swap returns, suggesting that the variance swap markets are increasingly integrated. Finally, we show that commodity variance risk premia are distinct from price risk premia, indicating that variance risk is unspanned by commodity futures.

ABSTRACT. This article studies the relation between skewness and subsequent returns in commodity futures markets. Systematically buying commodities with negative skewness and shorting commodities with positive skewness generates a significant excess return of 8% a year, which is not merely a compensation for backwardation and contango. Skewness is also found to explain cross-sectional futures returns beyond exposures to traditional commodity risk factors.

ABSTRACT. In this paper, we examine the explanatory power of various fundamental factors and financial characteristics on the expected returns of a unique data sample of 30 metals. We apply the widely accepted method of characteristic-sorted portfolios, extended by a very recent non-parametric multivariate approach. We find that the financial characteristics value and momentum have a high predictive power for returns of metal portfolios. Metal-specific fundamental factors perform only moderately well.

ABSTRACT. The recent proliferation of renewable energies and technological progress in electric battery storage create an increasing demand for sound algorithmic solutions to optimal control problems arising in the dispatch optimization of power supply in presence of a given storage facility and uncertainty caused by the market prices and weather conditions. Such problems are numerically challenging due to the high dimensionality of the state spaces involved. This work suggests a quantitative approach to address the growing need for efficient decentralized electricity dispatch and storage.

ABSTRACT. The German energy system is soon to be dominated by wind energy. Wind power is strongly volatile due to weather dependency and, if the inherent risk is not managed appropriately it may harm the system stability. To deepen the understanding of wind power risk, we present a modern approach to model wind energy risk in ultra-high dimensional space, incorporating a factor model in a functional data environment. To overcome the performance issues of high dimensionality we apply approximation of matrices by their low-rank counterparts with sparse singular values. The penalised multivariate regression deploying a functional factor model evaluated at expectile levels corresponding to the cut-in and shut-down wind speeds determines wind energy risk for Germany

ABSTRACT. We investigate the combined effect of an ETS and renewables on electricity generation investment in energy-only markets. Increasing renewable capacity creates a tradeoff: a higher share of renewable production can be priced at the higher marginal cost of conventional production, yet the likelihood of achieving higher profits is reduced because more demand is met by cheaper renewable generation. A numerical application shows that allowances markets do not supply satisfactory low-carbon solutions.

ABSTRACT. The paper looks at links between oil prices and prices of biofuel resources (rapeseed, ester that is biodiesel) in Europe. The topic is original because it focuses on the dynamics of market price links. Monthly data are used from November 2006 to January 2016. The results show a breakpoint in December 2013 involving some changing regime. Before December 2013, rapeseed, ester biodiesel and gas diesel oil prices where related by a unique equilibrium. From January 2014, biodiesel price is mostly related to the rapeseed price. However, two long-term relationships prices were found: - between rapeseed price and ester price, - between ester price and the gas diesel oil price. When oil price was high, it was profitable to blend ester with gas oil. It explains that the prices of rapeseed, ester and gas oil were cointegrated on the unique long-run equilibrium. From the collapse of oil price, the use of ester biodiesel is constrained by the compulsory incorporation into gas oil due to EU directives. Then, the ester price is mainly related to rapeseed price which is very inelastic since harvest only occurs once a year. And we found that the ester price is also related to gas oil price according to a second relationship.

Such a new dynamics may be due to annual harvest of agricultural oilseeds leading to short-term price inelasticity of production and compulsory incorporation of oilseed derivatives in fuels because of policy regulations.

ABSTRACT. I examine the impact of high frequency market makers (MMs) on market quality and institutions' returns in a setting with market fragmentation. Faster MMs more precisely monitor orderflows across trading venues than slower MMs. If all MMs' speeds rise, market quality improves at all venues but institutions' returns decline. If speeds rise at a single venue, spillovers arise: the spillovers improve market quality at venues with slow MMs; elsewhere, the spillovers harm market quality.

ABSTRACT. This paper presents an innovative order placement model delivering important results. The bid-ask spread is decomposed in 3 factors: differences between traders' valuation, adverse selection costs of risk averse uninformed buyers and sellers. Using order book data of ECX that concentrates 90% of European carbon orderflow, our empirical tests confirm the merits of our model highlighting that the spread (buyers'adverse selection costs) experience an intraday U-(inverted U-)shaped pattern.

ABSTRACT. We test for the existence of equity market contagion originating from oil price fluctuations to regional and domestic OECD stock markets from April 1993 to April 2015. We apply an International Capital Asset Pricing Model to capture the unexpected return and disentangle simple correlation due to fundamentals and contagion. Oil risk is shown to be a factor as important as contagion, which it amplifies in the context of regional markets all strongly interlinked with the USA.

ABSTRACT. This article analyses the reactions of G7 equities to oil price and China’s slowdown. We use of a new method, dubbed the quantile-on-quantile (QQ) approach. This technique is devoted to unsettled context where standard methods are malapropos. The QQ approach views the G7 stock markets responses as heterogeneous among tail-distributions. Besides, United Kingdom, Japan, France and United States appear better positioned to weather the storm.

ABSTRACT. The volatility of Brent crude oil daily spot and futures prices is analysed during four major shock periods: the Gulf war, the Asian crisis, the US terrorist attack, and the Global Financial crisis.The main research outcomes indicate that during the Gulf war and the US terrorist attack, there was a direct connection between the shock and disruption in oil supply/demand resulting higher oil price fluctuations than during the Asian and the Global Financial crisis that exhibited longer persistency.

ABSTRACT. When commodity funds increase their size through incoming financial resources, portfolio managers may upscale the standing portfolio thus preserving portfolio weights. Alternatively, they may update portfolio composition, possibly tackling new investment opportunities, or implementing any combination of the two. These solutions all entail additional costs related to searching actions and liquidity issues affecting the assets. Whatever is the retained choice, it in principle has a varying impact on fund performance. We develop in this paper a model that incorporates liquidity frictions in performance measurement. This model recovers the stylized fact that funds performance usually decreases with size. Its main contribution is that it enables prescribing how funds portfolio managers should invest new incoming resources in order to maximize portfolio performance under liquidity constraints. We assess our model empirically on a dataset of commodity futures contract. One major result that we get is that the proportion of wealth invested in liquid commodity contracts should increase with fund wealth at the expense of less liquid contracts, whatever the return over volatility ratios of these assets.

ABSTRACT. We build in this manuscript a long only minimum variance portfolio for commodities using a simple methodology. Our results show that the resulting index outstands commodity indices originally constructed from inventory considerations such as the BCOM index and the S&P GSCI. As advocated by the literature on naïve diversification, we also include an equally weighted commodity index in our analysis, the EW- S&P GSCI. Our results still suggest that the minimum variance portfolio outperform the naïve 1/N index.

ABSTRACT. We revisit the question whether commodities should be included in investors' portfolios. We employ for the first time a stochastic dominance efficiency (SDE) approach to construct optimal portfolios with and without commodities and we evaluate their comparative performance. SDE accommodates deviations from normality and circumvents the necessity to specify a utility function to describe investor's preferences. We find that commodities provide diversification benefits both in- and out-of-sample. This evidence is stronger when commodity indices which mimic dynamic commodity trading strategies are used. We explain our results by documenting that commodity markets are segmented from the equity and bond markets.

ABSTRACT. We conduct a European investigation of the impact of retail investment products on commodity prices. By using a unique dataset of 15,137 commodity linked certificates we extend previous research in two ways: First, we confirm the empirical results of Henderson et al (2015). Second, we find a significant impact of the days preceding the issuance day, which gives rise to the question whether one observes a possible endogeneity problem, analyzing commodity prices and investment flows.

ABSTRACT. We examine how crude oil futures spreads impact inventory via cash-and-carry arbitrage. While documenting arbitrage-related inventory variations, particularly at the NYMEX hub, we find that inventories respond to lagged as well as contemporaneous futures spreads. We also find that inventory changes tend to stabilize crude oil markets, since inventories usually rise when prices are relatively low and are depleted when prices are relatively high.

ABSTRACT. We consider a model that consists of financial investors and producers of a commodity. Producers store some production for future sale and short future contracts, while speculators invest in futures to diversify their portfolios. The forward and the spot equilibrium commodity prices are endogenously derived as the outcome of the interaction between producers and investors. We provide semi-explicit expressions for the equilibrium prices and analyze their dependence on the model parameters.

ABSTRACT. In organized energy markets that use locational pricing, power generators and energy suppliers use Financial Transmission Rights (FTRs) to hedge against grid congestion charges, while third party speculators attempt to capture a return with these contracts. FTRs are defined between two locations on the power transmission grid, known as a path. These financial instruments accrue their value based on the energy price differential at two ends of a path. Having the only organized energy market in the Western Interconnection, California has also implemented a version of FTRs, officially known as Congestion Revenue Rights (CRRs). This paper investigates the performance of the CRR markets by estimating and analyzing the presence of abnormal returns among these financial instruments. Our analysis identifies the paths with abnormal CRR returns with the majority of them being positive.

ABSTRACT. We study the impact of default supply auctions in electricity markets on the incentives of agents to engage in speculation or hedging activities. We present measures for distinguish between speculation and hedging in the case of CESUR and BGS auctions. Empirical evidence based on CESUR auctions 2007-2013, suggest that consumers paid €973 million in excess of electricity spot prices to providers of last resort. Hedging-driven trading in derivatives markets is predominant around auction dates.

ABSTRACT. A DT-FIGARCH model is used to investigate the threshold effects of commodity returns and volatility. Using the term spread as the threshold variable, this study examines if commodity returns and both short and long term volatility persistence exhibit asymmetric patterns. The results show that commodity returns and volatilities possess distinct patterns of non-linearity which are adequately modeled by a DT-FIGARCH specification.

ABSTRACT. We analyze the effect of macroeconomic and financial uncertainty on the volatility of the aggregate commodity market and of major commodity groups. Inflation uncertainty bears predictive power for commodity market volatility. Financial variables associated with credit risk are important determinants of commodity market volatility especially during the period of financialization of commodity markets. Finally, the equity variance risk premium is a strong predictor of commodity futures volatility.

ABSTRACT. This study adopts a copula wavelet approach to analyze the gold price against bonds, stocks and exchange rates based on disaggregation of relationships across different frequencies. We also examine whether gold prices are directly affected by changes in uncertainty. Analyzing data for nine economies for a sample period starting in 1985, we find that our uncertainty measures have different effcts on the path of the gold price. Overall, the price of gold changes significantly after the collapse of Lehman Brothers in 2008.

ABSTRACT. Using high frequency data on the largest gold Exchange Traded Funds (ETFs), I analyze instances of mispricing between the ETFs that allow for arbitrage opportunities to be created. The ETFs quickly correct back to each other, and discrepancies are infrequent. Lower liquidity on the ETFs and a volatile market are the main drivers of arbitrage opportunities. Analyzing the microstructure of arbitrage allows to underline the particular characteristics of the gold market compared to equities.

ABSTRACT. This paper discusses the case of strong path dependency in asset prices from the theoretical and empirical standpoints. Specifically, it demonstrates persistence of excess volatility in the gold spot price data that engenders excessive path dependence, whereas it is not the same with silver. For this study, we use the extreme value estimator proposed by Rogers and Satchell (1991) and the VRatio proposed by Maheswaran et al (2011).

ABSTRACT. This study investigates the dynamic interrelations in the volatilities and correlations of the returns on the German energy forward markets. We focus on the volatility spillovers to power from news in the prices of gas, coal, and carbon emission allowances. We discuss the relationship between our results and the fundamental developments in the energy markets from 2008 to 2013. We use a general VAR-BEKK model and a variance impulse-response function to analyze and evaluate the spillover effects.

ABSTRACT. We propose a model for electricity load with stochastic changes in regime, the transitions are described through an underlying Markov-chain with time-varying transition probabilities. We use the CRPS to score the goodness-of-fit of probabilistic forecasts to real observations out-of-sample. The results reveal that the Markov-switching model performs very well, particularly compared to classical time series approaches.

ABSTRACT. We examine the importance of the long-term seasonal component in day-ahead electricity price forecasting (EPF). In short-term EPF the daily and weekly seasonalities are always taken into account, but the LTSC is believed to add unnecessary complexity to the already parameter-rich models and is generally ignored. The aim of this paper to conduct an empirical study to verify if the LTSC should be included in day-ahead EPF models, contrary to a common belief that it is redundant in the short-term.

ABSTRACT. We show how an investor takes positions in two locations that are joined by an electricity interconnector. The investor takes positions in the intraday market by continuously trading in both markets whilst accounting for the impact her trades have on electricity prices in both locations. Moreover, we also show how model uncertainty affects the optimal trading strategy.

ABSTRACT. The objective of this paper is to perform a joint analysis of jump activity for commodities and their respective volatility indices. We perform a test of common jumps for multidimensional processes to assess whether an asset and its volatility jump together. Applying this test to the crude oil pair USO/OVX and the gold pair GLD/GVZ we find strong evidence that for these two markets the asset and its volatility have disjoint jumps. This result contrasts with those for the equity market.

ABSTRACT. We examine the empirical pricing performance of forward price stochastic volatility models for commodity derivatives that include stochastic interest rates. By estimating the model from crude oil derivative prices, we show that stochastic interest rate models improve pricing performance on long-dated crude oil derivatives, especially when the interest rate volatility is high. There is also empirical evidence for a negative correlation between crude oil futures prices and interest rates.

ABSTRACT. We propose a methodology to model price variations in electricity markets, based on hydrothermal power generation. The proposal blends advances in time series econometrics related to regime modeling, conditional heteroskedasticity and extreme values. It considers stylized facts of series describing electricity prices that are important for pricing risk accurately. Our methodology describes and characterizes asymmetries in terms of risk, relevant for electricity producers and consumers.

ABSTRACT. We use a structured model for an energy market to analyze the dynamic hedging of spot electricity price dependent contingent claims. The electricity price is modelled using a function depending on a joint fuels and demand process. We calibrate the model to a non-parametric forward curve. We use the structural model of Carmona, Coulon and Schwarz [Electricity Price Modelling and Asset Valuation: A Multi-Fuel Structural Approach; 2012] and test the performance in case of a virtual power plant.

ABSTRACT. For hedging future production a gas fired power plant operator can do nothing, lock in the margin on a certain date, or dynamically re-hedge over time. The latter approach, i.e. delta hedging, can involve switching hedges from yearly to quarterly and to monthly forwards as they become liquid. Although this is common practice, it was not considered – to our knowledge – in the literature on CSS. This paper fills the gap using Deng et al., 2010 method for deltas’ calculation and Italian data.

ABSTRACT. This paper analyzes the long-run equilibrium between the market value of energy firms and oil prices. Using a sample of industry indexes from Canada, France, Japan, the UK and the US, we find that UK oil producers and US oil integrated industry and renewables are cointegrated with oil and stock market values.

ABSTRACT. This paper introduces novel `doubly mean-reverting' processes based on conditional modeling to model spreads between pairs of stocks. Intraday trading strategies using high frequency data are proposed based on the model. This model framework and the strategies are designed to capture `local' market ineficiencies that are elusive for traditional pairs trading strategies with daily data. Results from real data back-testing for two periods show remarkable returns, even accounting for transaction costs, with annualized Sharpe ratios of 3.9 and 7.2 over the periods June 2013{April 2015 and 2008 respectively. By choosing the particular sector of oil companies, we also confirm the observation that the commodity price is the main driver of the share prices of commodity-producing companies at times of spikes in the related commodity market.

ABSTRACT. Does investor disagreement over financial payoffs and tastes substitute for financial performance? We show that green energy firms perform as well as non-green firms in risk adjusted performance with higher shareholder value and positive alphas. Share demand affects performance more than energy prices.Investors are not getting suboptimal return performance to pursue environmental tastes. Rather disagreement and taste substitutes for performance and supports the benefit of social responsibility.

ABSTRACT. In this paper, a pair-wise comparison between the conventional risk premium and the accrued risk premium in rolled-over positions in the front contract is carried out for UK natural gas futures. Several novel results are obtained: (i) accrued risk premiums are significatively larger than conventional risk premiums, (ii) winter premiums are larger and more volatile, (iii) reservoirs, weather, liquidity, volatility, skewness, and seasons explain risk premium time-variation.

ABSTRACT. We analyze the daily term structure of TIPS mispricing and uncover its information content. We derive novel high-frequency stylized facts about its dynamics. We document strong relationships with stock market returns, option-implied volatility and variance risk premium, and an important channel for predicting inflation, bond and equity excess returns.

ABSTRACT. Basis-momentum, the difference between momentum signals from a first- and second-nearby futures strategy, outperforms benchmark characteristics, such as basis and momentum, in predicting spot and term premiums. Basis-momentum is driven by imbalances in supply and demand, which persist because the strategy exposes investors to volatility risk. Portfolio- and commodity-level asset pricing tests show that exposure to a basis-momentum factor is priced and represents compensation for volatility risk.