We will examine price dependencies between primary products and co-products from metal markets. First, we develop an optimization model to determine the profit-maximizing extraction behavior of mining companies. With this model, we analyze how the companies optimally react to exogenous demand...

While literature provides several hedging theories, evidence on the corporate incentives to hedge remains ambiguous. We synthesize data of empirical studies via statistical meta-analysis to test different hedging hypotheses. To our knowledge, this constitutes the first application of such a...

A strong increase in the demand for some commodities over the last decade will have a major impact on their future supply situation. Of increasing importance, therefore, is an assessment of a commodity's criticality, and especially its supply risk, by appropriate indicators. The literature has...

Zahlreiche empirische Untersuchungen haben gezeigt, dass Verteilungen von Aktienkursren­diten nur unzureichend durch die Normalverteilung abgebildet werden können. Zur Approxi­mation der Verteilung erwiesen sich in der Literatur und erweisen sich meist die nichtnorma­len stabilen...

Zahlreiche empirische Untersuchungen haben gezeigt, dass Verteilungen von Aktienkursren­diten nur unzureichend durch die Normalverteilung abgebildet werden können. Zur Approxi­mation der Verteilung erwiesen sich in der Literatur und erweisen sich meist die nichtnorma­len stabilen...

In recent years, commodity markets show a large amount of volatility and substantial price jumps, indicating an increasing economic scarcity in many cases. As this scarcity makes commodity procurement a critical issue for national economies, industry sectors and manufacturing companies, a number...

Volatility movements are known to be negatively correlated with stock index returns. Hence, investing in volatility appears to be attractive for investors seeking risk diversification. The most common instruments for investing in pure volatility are variance swaps, which now enjoy an active...

We present a new method to measure the intraday relationship between movements of implied volatility smiles and stock returns. It is based on an enhanced smile regression model which captures patterns in the intraday data which have not yet been reported in the literature. Using transaction data...

In the three-factor model of Fama and French (1993), portfolio returns are explained by the factors Small Minus Big (SMB) and High Minus Low (HML) which capture returns related to firm capitalization (size) and the book-to-market ratio (B/M). In the standard approach of the model, both the test...