The contribution of the third and fourth moments in explaining the return-generating process
in futures markets remains unresolved. This study attempts to resolve this issue by using a …

This study examines various determinants of idiosyncratic risk from the perspective of un-diversified
REIT investors, managers holding options, other option holders, and arbitrageurs. …

Using intraday data, we document the responses of gold and silver future prices to monthly
macroeconomic news releases. Both metals respond strongly to the release of Capacity …

This study investigates the relationship between market-based measures of risk and foreign
currency contingent claims activity at US commercial banks. Specifically, four types of …

This paper evaluates the effects of surprises in 23 types of macroeconomic announcements
on foreign exchange rates, and on the forward premium. Several findings emerge. First, as …

This study examines the stochastic properties of the commercial real estate wealth indices
for three countries (the US, Canada and the UK) and for several property types (aggregate, …

This research study examines the tendency for serial correlation in bank holding company
profitability, finding significant evidence of reversion to the industry mean in profitability. The …

This study examines the properties of wealth indices for investments in several asset classes
(real estate, stocks, bonds, and Treasury bills), for several types of real estate (office, retail, …

This study investigates the determinants of profitability of US commercial banks in the 1970s
and 1980s. It is established that banks, depending on their size, may need to exercise …

We examine the impacts of economic forces and fundamental variables on REIT returns.
Our models endogenously select breakpoints to distinguish the heterogenous nature of the …