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Short-Term Basis Reversal
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Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1016/j.jacceco.2006.04.002openalex-snapshot
Costly arbitrage and the myth of idiosyncratic risk
inferredcites →https://doi.org/10.1016/j.jbankfin.2006.12.005openalex-snapshot
Momentum strategies in commodity futures markets
inferredcites →https://doi.org/10.1016/j.jbankfin.2023.106965openalex-snapshot
Exploiting the dynamics of commodity futures curves
inferredcites →https://doi.org/10.1016/j.jfineco.2014.10.010openalex-snapshot
A five-factor asset pricing model
inferredcites →https://doi.org/10.1016/j.jfineco.2023.103707openalex-snapshot
Priced risk in corporate bonds
inferredcites →https://doi.org/10.1016/s0304-405x(03)00175-2openalex-snapshot
Order imbalance and individual stock returns: Theory and evidence
inferredcites →https://doi.org/10.1086/262046openalex-snapshot
Competitive Storage and Commodity Price Dynamics
inferredcites →https://doi.org/10.1093/jjfinec/nbs024openalex-snapshot
Broker-Dealer Risk Appetite and Commodity Returns
inferredcites →https://doi.org/10.1093/qje/qjx034openalex-snapshot
Excess Volatility: Beyond Discount Rates*
inferredcites →https://doi.org/10.1093/rfs/11.3.647openalex-snapshot
Market Efficiency and Natural Selection in a Commodity Futures Market
inferredcites →https://doi.org/10.1093/rfs/5.4.637openalex-snapshot
Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets
inferredcites →https://doi.org/10.1093/rfs/hhaf057openalex-snapshot
Short-Term Reversals and Longer-Term Momentum around the World: Theory and Evidence
inferredcites →https://doi.org/10.1093/rfs/hhn098openalex-snapshot
Market Liquidity and Funding Liquidity
inferredcites →https://doi.org/10.1093/rfs/hhr027openalex-snapshot
Margin-based Asset Pricing and Deviations from the Law of One Price
inferredcites →https://doi.org/10.1093/rfs/hht133openalex-snapshot
Bond Supply and Excess Bond Returns
inferredcites →https://doi.org/10.1093/rfs/hhw024openalex-snapshot
Horizon Effects in Average Returns: The Role of Slow Information Diffusion
inferredcites →https://doi.org/10.1093/rof/rfs019openalex-snapshot
The Fundamentals of Commodity Futures Returns
inferredcites →https://doi.org/10.1111/0022-1082.00231openalex-snapshot
Trading Volume and Cross‐Autocorrelations in Stock Returns
inferredcites →https://doi.org/10.1111/0022-1082.00253openalex-snapshot
Hedging Pressure Effects in Futures Markets
inferredcites →https://doi.org/10.1111/j.1540-6261.1989.tb02635.xopenalex-snapshot
Overreactions in the Options Market
inferredcites →https://doi.org/10.1111/j.1540-6261.1990.tb05110.xopenalex-snapshot
Evidence of Predictable Behavior of Security Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb04702.xopenalex-snapshot
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03807.xopenalex-snapshot
The Limits of Arbitrage
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03808.xopenalex-snapshot
On Persistence in Mutual Fund Performance
inferredcites →https://doi.org/10.1111/jofi.12096openalex-snapshot
An Anatomy of Commodity Futures Risk Premia
inferredcites →https://doi.org/10.1111/jofi.12845openalex-snapshot
A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets
inferredcites →https://doi.org/10.1111/jofi.13165openalex-snapshot
Commodity Financialization and Information Transmission
inferredcites →https://doi.org/10.1146/annurev-financial-073009-104107openalex-snapshot
Limits of Arbitrage
inferredcites →https://doi.org/10.1287/mnsc.2017.2840openalex-snapshot
Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns
inferredcites →https://doi.org/10.2139/ssrn.1105546openalex-snapshot
Limits to Arbitrage and Hedging: Evidence from Commodity Markets
inferredcites →https://doi.org/10.2139/ssrn.2155491openalex-snapshot
Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
inferredcites →https://doi.org/10.2307/1913610openalex-snapshot
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
inferredcites →https://doi.org/10.2307/2325486openalex-snapshot
Efficient Capital Markets: A Review of Theory and Empirical Work
inferredcites →https://doi.org/10.2307/2937816openalex-snapshot
Fads, Martingales, and Market Efficiency
inferredcites →https://doi.org/10.2307/2946710openalex-snapshot
Costly Arbitrage: Evidence from Closed-End Funds
inferredcites →https://doi.org/10.2469/faj.v62.n2.4084openalex-snapshot
The Strategic and Tactical Value of Commodity Futures
inferredcites →https://doi.org/10.2469/faj.v68.n6.5openalex-snapshot
Index Investment and the Financialization of Commodities
inferredcites →https://doi.org/10.3386/w15487openalex-snapshot
A Preferred-Habitat Model of the Term Structure of Interest Rates
inferredcites →https://doi.org/10.3386/w6324openalex-snapshot
A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets
inferredcites →https://doi.org/10.7916/d8765r99openalex-snapshot
On the Impossibility of Informationally Efficient Markets
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