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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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Index Investment and Financialization of Commodities
Tang, Ke - 2010
This paper finds that, concurrent with the rapid growing index investment in commodities markets since early 2000s …
Persistent link: https://www.econbiz.de/10012462271
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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
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Macro-Hedging for Commodity Exporters
Borensztein, Eduardo - 2009
This paper uses a dynamic optimization model to estimate the welfare gains of hedging against commodity price risk for commodity-exporting countries. We show that the introduction of hedging instruments such as futures and options enhances domestic welfare through two channels. First, by...
Persistent link: https://www.econbiz.de/10012463197
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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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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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The Tactical and Strategic Value of Commodity Futures
Erb, Claude B. - 2005
Historically, commodity futures have had excess returns similar to those of equities. But what should we expect in the future? The usual risk factors are unable to explain the time-series variation in excess returns. In addition, our evidence suggests that commodity futures are an inconsistent,...
Persistent link: https://www.econbiz.de/10012467463
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Facts and Fantasies about Commodity Futures
Gorton, Gary - 2004
We construct an equally-weighted index of commodity futures monthly returns over the period between July of 1959 and …
Persistent link: https://www.econbiz.de/10012468098