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The Fundamentals of Commodity Futures Returns
Gorton, Gary B. - 2007
Commodity futures risk premiums vary across commodities and over time depending on the level of physical inventories, as predicted by the Theory of Storage. Using a comprehensive dataset on 31 commodity futures and physical inventories between 1969 and 2006, we show that the convenience yield is...
Persistent link: https://www.econbiz.de/10012465403
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Commodity Connectedness
Diebold, Francis X. - 2017
We use variance decompositions from high-dimensional vector autoregressions to characterize connectedness in 19 key commodity return volatilities, 2011-2016. We study both static (full-sample) and dynamic (rolling-sample) connectedness. We summarize and visualize the results using tools from...
Persistent link: https://www.econbiz.de/10012454997
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Bubble Troubles? Rational Storage, Mean Reversion and Runs in Commodity Prices
Bobenrieth H., Eugenio S. - 2013
High and volatile prices of major commodities have generated a wide array of analyses and policy prescriptions, including influential studies identifying price bubbles in periods of high volatility. Here we consider a model of the market for a storable commodity in which price expectations are...
Persistent link: https://www.econbiz.de/10012459625
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Convective Risk Flows in Commodity Futures Markets
Cheng, Ing-Haw - 2012
This paper analyzes the joint responses of commodity futures prices and traders' futures positions to changes in the VIX before and after the recent financial crisis. We find that while financial traders accommodate the needs of commercial hedgers in normal times, in times of distress, financial...
Persistent link: https://www.econbiz.de/10012460735
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Perpetual Futures Pricing
Ackerer, Damien - 2024
Perpetual futures are contracts without expiration date in which the anchoring of the futures price to the spot price is ensured by periodic funding payments from long to short. We derive explicit expressions for the no-arbitrage price of various perpetual contracts, including linear, inverse,...
Persistent link: https://www.econbiz.de/10015072878
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Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives
Trolle, Anders B. - 2006
We conduct a comprehensive analysis of unspanned stochastic volatility in commodity markets in general and the crude-oil market in particular. We present model-free results that strongly suggest the presence of unspanned stochastic volatility in the crude-oil market. We then develop a tractable...
Persistent link: https://www.econbiz.de/10012465916
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Commodities for the Long Run
Levine, Ari - 2016
This paper analyzes a novel data set of commodity futures prices over a long sample period starting in 1877, which allows us to shed new light on several important and controversial questions. We document that commodity futures returns (1) have been positive on average; (2) vary significantly...
Persistent link: https://www.econbiz.de/10012455887
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Tracking Biased Weights : Asset Pricing Implications of Value-Weighted Indexing
Jiang, Hao - 2020
We show theoretically and empirically that flows into index funds raise the prices of large stocks in the index … disproportionately more than the prices of small stocks. Conversely, flows predict a high future return of the small-minus-large index … portfolio. This finding runs counter to the CAPM, and arises when noise traders distort prices, biasing index weights. When …
Persistent link: https://www.econbiz.de/10012482472
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Emotions and Subjective Crash Beliefs
Goetzmann, William N.; Kim, Dasol; Shiller, Robert J. - National Bureau of Economic Research - 2024
Over the past two decades, respondents to the Shiller Investor Confidence Surveys assess the probability of a catastrophic stock market crash to be much higher that the historical frequency of such events. We decompose these crash probabilities into fundamental and subjective components and use...
Persistent link: https://www.econbiz.de/10014576618
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The Asset Pricing Implications of Plausible Deniability
Back, Kerry E.; Carlin, Bruce Ian; Kazempour, Seyed Mohammad - National Bureau of Economic Research - 2021
We derive the effect of plausible deniability on asset risk premia in a dynamic setting with correlated firm values, systematic risk, and risk-averse investors. Firms optimally exercise American disclosure options, which are more valuable due to the possibility that other correlated firms may...
Persistent link: https://www.econbiz.de/10012482566