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Facts and fantasies about commodity futures
Gorton, Gary (contributor);  … - 2005 - Rev.
Persistent link: https://www.econbiz.de/10003726184
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Facts and fantasies about commodity futures
Gorton, Gary; Rouwenhorst, K. Geert - 2004
Persistent link: https://www.econbiz.de/10002127050
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Facts and fantasies about commodity futures
Gorton, Gary (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003290109
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Facts and Fantasies about Commodity Futures
Gorton, Gary - 2004
over the business cycle. In addition, commodity futures are positively correlated with inflation, unexpected inflation, and … changes in expected inflation …
Persistent link: https://www.econbiz.de/10012468098
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Facts and Fantasies About Commodity Futures Ten Years Later
Bhardwaj, Geetesh - 2015
Gorton and Rouwenhorst (2006) examined commodity futures returns over the period July 1959 to December 2004 based on an equally-weighted index. They found that fully collateralized commodity futures had historically offered the same return and Sharpe ratio as U.S. equities, but were negatively...
Persistent link: https://www.econbiz.de/10013021473
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Facts and Fantasies About Commodity Futures Ten Years Later
Bhardwaj, Geetesh - 2015
Gorton and Rouwenhorst (2006) examined commodity futures returns over the period July 1959 to December 2004 based on an equally-weighted index. They found that fully collateralized commodity futures had historically offered the same return and Sharpe ratio as U.S. equities, but were negatively...
Persistent link: https://www.econbiz.de/10013022126
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Facts and Fantasies about Commodity Futures Ten Years Later
Bhardwaj, Geetesh - 2015
Gorton and Rouwenhorst (2006) examined commodity futures returns over the period July 1959 to December 2004 based on an equally-weighted index. They found that fully collateralized commodity futures had historically offered the same return and Sharpe ratio as U.S. equities, but were negatively...
Persistent link: https://www.econbiz.de/10012457424
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Sorting out commodity and macroeconomic risk in expected stock returns
Boons, Martijn - 2014
empirical track record for inflation as a risk factor in stock returns. The chapter estimates the inflation risk premium in the …
Persistent link: https://www.econbiz.de/10010238887
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Bond risk premia forecasting : a simple approach for extracting macroeconomic information from a panel of indicators
Audrino, Francesco; Corsi, Fulvio; Filipova, Kameliya - In: Econometric reviews 35 (2016) 1/4, pp. 232-256
Persistent link: https://www.econbiz.de/10011549916
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Facts and Fantasies About Gold
Klement, Joachim - 2019
gold is essentially influenced by inflation expectations and to a lesser degree real interest rates and the marginal costs … scenarios about the future development of these factors. In our view at least throughout 2014 inflation expectations and real …
Persistent link: https://www.econbiz.de/10012905069