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Commodity risk factors and the cross-section of equity returns

Brooks, Chris; Fernandez-Perez, Adrian; Miffre, Joëlle; … - 2014

Persistent link: https://www.econbiz.de/10010440251

Commodity risks and the cross-section of equity returns

Brooks, Chris; Miffre, Joëlle; Nneji, Ogonna - In: The British accounting review : the journal of the … 48 (2016) 2, pp. 134-150

Persistent link: https://www.econbiz.de/10011520867

Commodity Risks and the Cross-Section of Equity Returns

Brooks, Chris - 2019

The article examines whether commodity risk is priced in the cross-section of global equity returns. We employ a long-only equally-weighted portfolio of commodity futures and a term structure portfolio that captures phases of backwardation and contango as mimicking portfolios for commodity risk....

Persistent link: https://www.econbiz.de/10012904741

Default risk, macroeconomic conditions, and the market skewness risk premium

Xu, Zhongxiang; Li, Xiafei; Chevapatrakul, Thanaset; … - In: Journal of international money and finance 127 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013435659

Uncertainty and crude oil market volatility : new evidence

Liang, Chao; Wei, Yu; Li, Xiafei; Zhang, Xuhui; Zhang, … - In: Applied economics 52 (2020) 27, pp. 2945-2959

Persistent link: https://www.econbiz.de/10012221463

Which uncertainty is powerful to forecast crude oil market volatility? : new evidence

Li, Xiafei; Wei, Yu; Chen, Xiaodan; Ma, Feng; Liang, Chao; … - In: International journal of finance & economics : IJFE 27 (2022) 4, pp. 4279-4297

Persistent link: https://www.econbiz.de/10013461327

Impacts of carbon market and climate policy uncertainties on financial and economic stability : evidence from connectedness network analysis

Liang, Chao; Goodell, John W.; Li, Xiafei - In: Journal of international financial markets, … 92 (2024), pp. 1-20

Persistent link: https://www.econbiz.de/10014535729

Forecasting crude oil volatility with uncertainty indicators : new evidence

Li, Xiafei; Liang, Chao; Chen, Zhonglu; Umar, Muhammad - In: Energy economics 108 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013203032

Combination forecasts of China's oil futures returns based on multiple uncertainties and their connectedness with oil

Shi, Chunpei; Wei, Yu; Li, Xiafei; Liu, Yuntong - In: Energy economics 126 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014487439

Forecasting gold volatility with geopolitical risk indices

Li, Xiafei; Guo, Qiang; Liang, Chao; Umar, Muhammad - In: Research in international business and finance 64 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014266744