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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

Risk Premia in Crude Oil Futures Prices

Hamilton, James D. - 2013

structure to commodity futures prices, and develop new algorithms for estimation of such models using unbalanced data sets in …

Persistent link: https://www.econbiz.de/10013081835

Robust Bond Risk Premia

Bauer, Michael D. - 2017

A consensus has recently emerged that variables beyond the level, slope, and curvature of the yield curve can help predict bond returns. This paper shows that the statistical tests underlying this evidence are subject to serious small-sample distortions. We propose more robust tests, including a...

Persistent link: https://www.econbiz.de/10012954916

Identifying Long-Run Risks : A Bayesian Mixed-Frequency Approach

Schorfheide, Frank - 2014

multiple stochastic volatility processes. The estimation is based on annual consumption data from 1929 to 1959, monthly … Bayesian estimation provides strong evidence for a small predictable component in consumption growth (even if asset return data … are omitted from the estimation). Three independent volatility processes capture different frequency dynamics; our …

Persistent link: https://www.econbiz.de/10013050301

Term Structures of Asset Prices and Returns

Backus, David - 2016

We explore the term structures of claims to a variety of cash flows, namely, U.S. government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends). The...

Persistent link: https://www.econbiz.de/10012994905

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/10012979781

Facts and Fantasies About Commodity Futures

Gorton, Gary - 2006

We construct an equally-weighted index of commodity futures monthly returns over the period between July of 1959 and March of 2004 in order to study simple properties of commodity futures as an asset class. Fully-collateralized commodity futures have historically offered the same return and...

Persistent link: https://www.econbiz.de/10012783849

The Fundamentals of Commodity Futures Returns

Gorton, Gary - 2010

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/10012759941

Empirical Asset Pricing Via Machine Learning

Gu, Shihao - 2018

We perform a comparative analysis of machine learning methods for the canonical problem of empirical asset pricing: measuring asset risk premia. We demonstrate large economic gains to investors using machine learning forecasts, in some cases doubling the performance of leading regression-based...

Persistent link: https://www.econbiz.de/10012906301

Premium for Heightened Uncertainty : Explaining Pre-Announcement Market Returns

Hu, Grace Xing - 2019

We show that the pattern of positive pre-announcement market drift is present not only for FOMC announcements, as documented by Lucca and Moench (2015), but also for other major macroeconomic announcements such as Nonfarm Payroll, ISM and GDP. This commonality in pre-announcement returns leads...

Persistent link: https://www.econbiz.de/10012870731