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Basis-momentum, term structure of commodity futures returns, maturity-specific price pressure, commodity factor pricing model, volatility risk
Asset pricing, Commodity futures markets, Commodity index investment, Commodity risk premium, Hedging
Value Premium, Value Spread, Global Asset Pricing, Return Predictability, Alternative Assets, Common and Asset-Class-Specific Value
inflation, time-varying inflation risk premium, inflation hedging, individual stock returns, cross-sectional asset pricing, nominal-real covariance
Inflation, (Time-Varying) Inflation Risk Premium, Inflation Hedging, Cross-Sectional Asset-Pricing, TIPS, Nominal-Real Covariance
Cross-sectional tests, firm-level stock returns, long horizons, macroeconomic risks, consumption, linear multifactor models
Dynamic Price Wedges, Alphas, Persistence, Real Misallocation
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State variables, Macroeconomic Risk, Linear Asset Pricing Models, Individual Stock Returns, Time-series and Cross-Sectional Consistency
Characteristics, Persistence, Cross-Sectional Return Predictability, Test Assets, Factor Models
Conditional Asset Pricing Models, State Variable Risk Premiums, Intertemporal CAPM, Time-Varying Consumption Predictability
Credit Spreads, Time-Varying Risk Premia, Macroeconomic Risk, Shocks, Return Predictability
