Is news related to GDP growth a risk factor for commodity futures returns?

Expectations about future economic activity should theoretically affect the demand for inventory holdings and therefore commodity spot and futures prices. Consistent with these predictions, we find that news related to future GDP growth is a significant factor that is priced in the cross-section of commodity futures sorted by percentage net basis. The latter is highly correlated with inventories. In particular, it establishes that commodity futures with high inventory levels provide a hedge against risk associated with future GDP growth so that investors are willing to accept lower return. By contrast, those commodity futures with low inventory levels are inversely related to the GDP-related factor so that investors require a higher return. Such results suggest that commodity futures excess returns are a compensation for risk

Best of the best: a comparison of factor models

We compare major factor models and find that the Stambaugh and Yuan (2016) four-factor model is the overall winner in the time-series domain. The Hou, Xue, and Zhang (2015) q-factor model takes second place and the Fama and French (2015) five-factor model and the Barillas and Shanken (2018) six-factor model jointly take third place. But the pairwise cross-sectional R2 and the multiple model comparison tests show that the Hou, Xue, and Zhang (2015) q-factor model, the Fama and French (2015) five-factor and four-factor models, and the Barillas and Shanken (2018) six-factor model take equal first place in the horse race

Best of the best: a comparison of factor models

We compare major factor models and find that the Stambaugh and Yuan (2016) four-factor model is the overall winner in the time-series domain. The Hou, Xue, and Zhang (2015) q-factor model takes second place and the Fama and French (2015) five-factor model and the Barillas and Shanken (2018) six-factor model jointly take third place. But the pairwise cross-sectional R2 and the multiple model comparison tests show that the Hou, Xue, and Zhang (2015) q-factor model, the Fama and French (2015) five-factor and four-factor models, and the Barillas and Shanken (2018) six-factor model take equal first place in the horse race

Best of the Best: A Comparison of Factor Models

We compare major factor models and find that the Stambaugh and Yuan (2016) four-factor model is the overall winner in the time-series domain. The Hou, Xue, and Zhang (2015) q-factor model takes second place and the Fama and French (2015) five-factor model and the Barillas and Shanken (2018) six-factor model jointly take third place. But the pairwise cross-sectional R2 and the multiple model comparison tests show that the Hou, Xue, and Zhang (2015) q-factor model, the Fama and French (2015) five-factor and four-factor models, and the Barillas and Shanken (2018) six-factor model take equal first place in the horse race

Kepler-413b: a slightly misaligned, Neptune-size transiting circumbinary planet

We report the discovery of a transiting, Rp = 4.347+/-0.099REarth, circumbinary planet (CBP) orbiting the Kepler K+M Eclipsing Binary (EB) system KIC 12351927 (Kepler-413) every ~66 days on an eccentric orbit with ap = 0.355+/-0.002AU, ep = 0.118+/-0.002. The two stars, with MA = 0.820+/-0.015MSun, RA = 0.776+/-0.009RSun and MB = 0.542+/-0.008MSun, RB = 0.484+/-0.024RSun respectively revolve around each other every 10.11615+/-0.00001 days on a nearly circular (eEB = 0.037+/-0.002) orbit. The orbital plane of the EB is slightly inclined to the line of sight (iEB = 87.33+/-0.06 degrees) while that of the planet is inclined by ~2.5 degrees to the binary plane at the reference epoch. Orbital precession with a period of ~11 years causes the inclination of the latter to the sky plane to continuously change. As a result, the planet often fails to transit the primary star at inferior conjunction, causing stretches of hundreds of days with no transits (corresponding to multiple planetary orbital periods). We predict that the next transit will not occur until 2020. The orbital configuration of the system places the planet slightly closer to its host stars than the inner edge of the extended habitable zone. Additionally, the orbital configuration of the system is such that the CBP may experience Cassini-States dynamics under the influence of the EB, in which the planet's obliquity precesses with a rate comparable to its orbital precession. Depending on the angular precession frequency of the CBP, it could potentially undergo obliquity fluctuations of dozens of degrees (and complex seasonal cycles) on precession timescales.Comment: 48 pages, 13 figure

Qatar Exoplanet Survey : Qatar-3b, Qatar-4b and Qatar-5b

We report the discovery of Qatar-3b, Qatar-4b, and Qatar-5b, three new transiting planets identified by the Qatar Exoplanet Survey (QES). The three planets belong to the hot Jupiter family, with orbital periods of $P_{Q3b}$=2.50792 days, $P_{Q4b}$=1.80539 days, and $P_{Q5b}$=2.87923 days. Follow-up spectroscopic observations reveal the masses of the planets to be $M_{Q3b}$=4.31$\pm0.47$ $M_{\rm J}$, $M_{Q4b}$=6.10$\pm0.54$ $M_{\rm J}$, and $M_{Q5b}$ = 4.32$\pm0.18$ $M_{\rm J}$, while model fits to the transit light curves yield radii of $R_{Q3b}$ = 1.096$\pm0.14$ $R_{\rm J}$, $R_{Q4b}$ = 1.135$\pm0.11$ $R_{\rm J}$, and $R_{Q5b}$ = 1.107$\pm0.064$ $R_{\rm J}$. The host stars are low-mass main sequence stars with masses and radii $M_{Q3}$ = 1.145$\pm0.064$ $M_{\odot}$, $M_{Q4}$ = 0.896$\pm0.048$ $M_{\odot}$, $M_{Q5}$ = 1.128$\pm0.056$ $M_{\odot}$ and $R_{Q3}$ = 1.272$\pm0.14$ $R_{\odot}$, $R_{Q4}$ = 0.849$\pm0.063$ $R_{\odot}$ and $R_{Q5}$ = 1.076$\pm0.051$ $R_{\odot}$ for Qatar-3, 4 and 5 respectively. The V magnitudes of the three host stars are $V_{Q3}$=12.88, $V_{Q4}$=13.60, and $V_{Q5}$=12.82. All three new planets can be classified as heavy hot Jupiters (M > 4 $M_{J}$).Comment: 13Pages, 8Figure

Discovery of Two Distant Type Ia Supernovae in the Hubble Deep Field North with the Advanced Camera for Surveys

We present observations of the first two supernovae discovered with the recently installed Advanced Camera for Surveys (ACS) on the Hubble Space Telescope. The supernovae were found in Wide Field Camera images of the Hubble Deep Field North taken with the F775W, F850LP, and G800L optical elements as part of the ACS guaranteed time observation program. Spectra extracted from the ACS G800L grism exposures confirm that the objects are Type Ia supernovae (SNe Ia) at redshifts z=0.47 and z=0.95. Follow-up HST observations have been conducted with ACS in F775W and F850LP and with NICMOS in the near-infrared F110W bandpass, yielding a total of 9 flux measurements in the 3 bandpasses over a period of 50 days in the observed frame. We discuss many of the important issues in doing accurate photometry with the ACS. We analyze the multi-band light curves using two different fitting methods to calibrate the supernovae luminosities and place them on the SNe Ia Hubble diagram. The resulting distances are consistent with the redshift-distance relation of the accelerating universe model, although evolving intergalactic grey dust remains as a less likely possibility. The relative ease with which these SNe Ia were found, confirmed, and monitored demonstrates the potential ACS holds for revolutionizing the field of high-redshift SNe Ia, and therefore of testing the accelerating universe cosmology and constraining the "epoch of deceleration".Comment: 11 pages, 8 embedded figures. Accepted for publication in Ap

Bubbling over! The behaviour of oil futures along the yield curve

Using a rational bubble framework, a future spot price bubble can be shown to induce explosive behaviour in current long maturity futures prices under particular conditions. To assess this empirically, we employ a novel test of the unit root null against a mildly explosive alternative to investigate multiple bubbles in the crude oil spot and a range of futures prices along the yield curve employing monthly and weekly data from 1995 to 2013. The results indicate that series overwhelmingly exhibit significant bubble periods ending in late 2008 even after allowing for an increase in unconditional volatility. Bubbles in the longer-dated contracts emerged as early as 2004 and are longer lasting than those in nearby and spot contracts. The bubble period was characterized by dramatic shifts in the yield curve associated with institutional spread positions that sharply increased futures prices at longer maturities. The results suggest that periods of time series disconnect between the spot and longer dated futures contracts could potentially form an input into early warning systems for macro-prudential policy

A Catalog of Broad Absorption Line Quasars from the Sloan Digital Sky Survey Early Data Release

We present a catalog of 224 broad absorption line quasars (BALQSOs) from the Sloan Digital Sky Survey's Early Data Release Quasar Catalog, including a relatively complete and homogeneous subsample of 131 BALQSOs. Since the identification of BALQSOs is subject to considerable systematic uncertainties, we attempt to create a complete sample of SDSS BALQSOs by combining the results of two automated selection algorithms and a by-eye classification scheme. One of these automated algorithms finds broad absorption line troughs by comparison with a composite quasar spectrum. We present the details of this algorithm and compare this method to that which uses a power-law fit to the continuum. The BALQSOs in our sample are further classified as high-ionization BALQSOs (HiBALs), low-ionization BALQSOs (LoBALs), and BALQSOs with excited iron absorption features (FeLoBALs); composite spectra of each type are presented. We further present a study of the properties of the BALQSOs in terms of the balnicity distribution, which rises with decreasing balnicity. This distribution of balnicities suggests that the fraction of quasars with intrinsic outflows may be significantly underestimated.Comment: 36 pages, 7 figures (1 color), 2 tables, accepted by A

The predictive performance of commodity futures risk factors

This paper investigates the time-series predictability of commodity futures excess returns from factor models that exploit two risk factors – the equally weighted average excess return on long positions in a universe of futures contracts and the return difference between the high- and low-basis portfolios. Adopting a standard set of statistical evaluation metrics, we find weak evidence that the factor models provide out-of-sample forecasts of monthly excess returns significantly better than the benchmark of random walk with drift model. We also show, in a dynamic asset allocation environment, that the information contained in the commodity-based risk factors does not generate systematic economic value to risk-averse investors pursuing a commodity stand-alone strategy or a diversification strategy