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Investable Commodity Premia in China

Bianchi, Robert - 2020

We investigate the investability of commodity risk premia in China. Previously documented standard momentum, carry and basis-momentum factors are not investable due to the unique liquidity patterns along the futures curves in China. However, dynamic rolling and strategic portfolio weights...

Persistent link: https://www.econbiz.de/10012843106

Commodity premia and risk management

Fan, John Hua; Zhang, Tingxi - In: The journal of futures markets 44 (2024) 7, pp. 1097-1116

Persistent link: https://www.econbiz.de/10014553950

Risk factors in Australian bond returns

Bianchi, Robert; Drew, Michael E.; Roca, Eduardo; … - In: Accounting and finance : journal of the Accounting … 57 (2017) 2, pp. 351-372

Persistent link: https://www.econbiz.de/10011756380

Interest rate changes and the cross-section of global equity returns

Zaremba, Adam; Cakici, Nusret; Bianchi, Robert; Long, … - In: Journal of economic dynamics & control 147 (2023), pp. 1-32

Persistent link: https://www.econbiz.de/10014249731

Economic activity and time variation in expected futures returns

Miffre, Joëlle - In: Economics letters 73 (2001) 1, pp. 73-79

Persistent link: https://www.econbiz.de/10001613334

Efficiency in the pricing of the FTSE 100 futures contract

Miffre, Joëlle - In: European financial management : the journal of the … 7 (2001) 1, pp. 9-22

Persistent link: https://www.econbiz.de/10001558301

The cross section of expected futures returns and the Keynesian hypothesis

Miffre, Joëlle - In: Applied financial economics 13 (2003) 10, pp. 731-739

Persistent link: https://www.econbiz.de/10001777214

The predictability of futures returns : rational variation in required returns or market inefficiency?

Miffre, Joëlle - In: Applied financial economics 12 (2002) 10, pp. 715-724

Persistent link: https://www.econbiz.de/10001702510

Economic significance of the predictable movements in futures returns

Miffre, Joëlle - In: Economic notes : economic review of Banca Monte dei … 31 (2002) 1, pp. 125-142

Persistent link: https://www.econbiz.de/10001669373

Normal backwardation is normal

Miffre, Joëlle - In: The journal of futures markets 20 (2000) 9, pp. 803-821

Persistent link: https://www.econbiz.de/10001525965

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