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Factor Pricing in Commodity Futures and the Role of Liquidity

Chong, Terence Tai Leung; Tsui, Chun; Chan, Wing Hong - 2017

futures markets. Hedging pressure in commodity futures markets and momentum effects are also considered. While the literature … pricing factor in commodity futures markets has not yet been proven. The risk premiums of two momentum factors and speculators …

Persistent link: https://www.econbiz.de/10015257017

Die Theorie der fairen geometrischen Rendite

Sonntag, Dominik - 2018

The theory of fair geometric returns, F theory for short, rejects the generally accepted notion that volatility is the risk of risky assets. Instead, it claims that capital market volatility, in turn, constitutes the maximum achievable geometric return. In order to get to the point, F theory, in...

Persistent link: https://www.econbiz.de/10015260519

Intraday Time-series Momentum: Evidence from China

Jin, Muzhao; Kearney, Fearghal; Li, Youwei; Yang, Yung … - 2019

This study conducts an investigation of intraday time-series momentum across four Chinese commodity futures contracts … volume or volatility are associated with the strongest intraday time-series momentum dynamics. Based on this, we propose an … intraday momentum informed trading strategy that earns a return in excess of standard always long and buy-and-hold benchmarks. …

Persistent link: https://www.econbiz.de/10015265803

Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers

Levy, Daniel; Mayer, Tamir; Raviv, Alon - 2020

Textual analysis of the NBER Working Papers published during 1999–2016 is done to assess the effects of the 2007–2009 crisis on the academic literature. The volume of crisis-related WPs is counter-cyclical, lagging the financial-instability-index. WPs by the Monetary-Economics,...

Persistent link: https://www.econbiz.de/10015266578

Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers

Levy, Daniel; Mayer, Tamir; Raviv, Alon - 2020

Textual analysis of 14,270 NBER Working Papers published during 1999–2016 is done to assess the effects of the 2008 crisis on the economics literature. The volume of crisis-related WPs is counter-cyclical, lagging the financial-instability-index. WPs by the Monetary-Economics, Asset-Pricing,...

Persistent link: https://www.econbiz.de/10015266597

Generic Price Model for Commodity Derivatives

Lee, David - 2022

This article develops a new framework for modeling the dynamics of commodity forward curves and pricing commodity derivatives. The model accommodates a generic calibration procedure to ensure that the model prices for vanilla options match exactly the market prices. Empirically we show that the...

Persistent link: https://www.econbiz.de/10015268443

Currency Carry Trades, Position-Unwinding Risk, and Sovereign Credit Premia

Huang, Huichou; MacDonald, Ronald - 2012

trade portfolios, which covers moment information as the proxy for crash risk. We show that high interest-rate currencies …

Persistent link: https://www.econbiz.de/10015237626

Currency Carry Trades, Position-Unwinding Risk, and Sovereign Credit Premia

Huang, Huichou; MacDonald, Ronald - 2012

trade portfolios, which well covers the moment information. We show that high interest-rate currencies are exposed to higher …

Persistent link: https://www.econbiz.de/10015237896

Currency Carry Trades, Position-Unwinding Risk, and Sovereign Credit Premia

Huang, Huichou; MacDonald, Ronald - 2012

trade portfolios, which well covers the moment information. We show that high interest-rate currencies are exposed to higher …

Persistent link: https://www.econbiz.de/10015238073

Analogy Making, Option Prices, and Implied Volatility

Siddiqi, Hammad - 2013

We put forward a new option pricing formula based on the notion that people tend to think by analogies and comparisons. The new formula differs from the Black Scholes formula due to the appearance of a parameter in the formula that captures the risk premium on the underlying. The new formula,...

Persistent link: https://www.econbiz.de/10015238126