International equity markets exhibit medium‐term return continuation. Between 1980 and
1995 an internationally diversified portfolio of past medium‐term Winners outperforms a …

This article reviews the literature on commodities from the perspective of an investor. We re-examine
some of the early papers in the literature using recent data and find that the …

… Geert Rouwenhorst is professor of finance and deputy director of the International Center
for Finance at the School of Management, Yale University, New Haven, Connecticut. …

The factors that drive cross‐sectional differences in expected stock returns in emerging
equity markets are qualitatively similar to those that have been documented for developed …

We test a Wall Street investment strategy, “pairs trading,” with daily data over 1962–2002.
Stocks are matched into pairs with minimum distance between normalized historical prices. A …

In this paper we examine the correlation structure of the major world equity markets over
150 years. We find that correlations vary considerably through time and are highest during …

We examine the influence of industrial structure on the cross-sectional volatility and correlation
structure of country index returns for 12 European countries between 1978 and 1992. We …

Commodity futures risk premiums vary across commodities and over time depending on the
level of physical inventories. The convenience yield is a decreasing, nonlinear function of …

Research problems on the boundary of finance and macroeconomics are rapidly emerging
as central to the evolution of each field. In finance it is now well established that expected …

This paper extends previous work on the information in the term structure about future real
economic growth. For the US and Germany, and to a lesser extent for the UK, we find …