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High Idiosyncratic Volatility and Low Returns : International and Further U.S. Evidence

Ang, Andrew - 2008

Stocks with recent past high idiosyncratic volatility have low future average returns around the world. Across 23 … developed markets, the difference in average returns between the extreme quintile portfolios sorted on idiosyncratic volatility … higher moments. There is strong comovement in the low returns to high idiosyncratic volatility stocks across countries …

Persistent link: https://www.econbiz.de/10012464908

The Predictive Content of Commodity Futures

Chinn, Menzie D. - 2010

This paper examines the relationship between spot and futures prices for a broad range of commodities, including energy, precious and base metals, and agricultural commodities. In particular, we examine whether futures prices are (1) an unbiased and/or (2) accurate predictor of subsequent spot...

Persistent link: https://www.econbiz.de/10012462821

Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the OJ Market

Boudoukh, Jacob - 2003

is good news for the theory and for market efficiency, not bad news. In terms of residual FCOJ return volatility, we also …

Persistent link: https://www.econbiz.de/10012469188

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

Macro-Hedging for Commodity Exporters

Borensztein, Eduardo - 2009

domestic welfare through two channels. First, by reducing export income volatility and allowing for a smoother consumption path …

Persistent link: https://www.econbiz.de/10012463197

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 … stochastic volatility. The model features correlations between innovations to futures prices and volatility, quasi …

Persistent link: https://www.econbiz.de/10012465916

Financialization in Commodity Markets

Chari, V.V. - 2017

growth rate and volatility of commodity spot prices. This view gained credence because in the 2000s trading volume increased …

Persistent link: https://www.econbiz.de/10012453945

Risk Premia in Crude Oil Futures Prices

Hamilton, James D. - 2013

If commercial producers or financial investors use futures contracts to hedge against commodity price risk, the arbitrageurs who take the other side of the contracts may receive compensation for their assumption of nondiversifiable risk in the form of positive expected returns from their...

Persistent link: https://www.econbiz.de/10012459606

Behavioralize This! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns

Ahn, Dong-Hyun - 1999

This paper investigates the relation between returns on stock indices and their corresponding futures contracts in order to evaluate potential explanations for the pervasive yet anomalous evidence of positive, short-horizon portfolio autocorrelations. Using a simple theoretical framework, we...

Persistent link: https://www.econbiz.de/10012471575

The Forward Market in Emerging Currencies : Less Biased Than in Major Currencies

Frankel, Jeffrey - 2006

any studies have replicated the finding that the forward rate is a biased predictor of the future change in the spot exchange rate. Usually the forward discount actually points in the wrong direction. But virtually all those studies apply to advanced economies and major currencies. We apply the...

Persistent link: https://www.econbiz.de/10012466169

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