Which risk factors can effect commodity returns?
Analysis of factors which affect bitcoin returns : what can explain the fluctations in bitcoin returns?
... How can bitcoin be characterized? Section ...asset, commodity and ...three factors of the model of Fama French are not applicable on ...rates which means that bitcoin is not a ...a ...
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Broker-Dealer Risk Appetite and Commodity Returns
... tests, which lend additional support to the model’s prediction that the observed fore- castability is a re‡ection of time-varying risk ...excess commodity returns are compensation for ...
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Commodity returns co-movements: Fundamentals or "style" effect?
... correlations can switch between two or more constant correlation matrices, depending on the number of ...function which includes smoothing and localization parameters and either deterministic or stochastic ...
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Carry Trades and Commodity Risk Factors
... excess returns are regressed on a constant, DOL, and the agricultural material, metal, food, and stock market ...DOL, which is a result that is consistent with Lustig et ...positive risk premium ...
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The predictive performance of commodity futures risk factors
... of commodity-based risk factors in an out-of-sample set- ting, whereas the existing evidence is based solely on in-sample data fitting ...to which asset pricing models with ...
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The predictive performance of commodity futures risk factors
... of commodity-based risk factors in an out-of-sample set- ting, whereas the existing evidence is based solely on in-sample data fitting ...to which asset pricing models with ...
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Quantile Forecasting of Commodity Futures' Returns: Are Implied Volatility Factors Informative?
... at Risk or (CAViaR) class of models which specify the evolution of the quantile over time via a special type of autoregressive process using quantile ...
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Is news related to GDP growth a risk factor for commodity futures returns?
... and can be used as a hedging or profiting ...that commodity futures characterized by a high percentage net basis have negative exposure to the GDP-related factor, whereas those with a low percentage net ...
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The Skewness of Commodity Futures Returns
... other commodity portfolios. For example, the mean excess returns of the TS, Mom and HP- sorted portfolios range from ...of which are significant at the 5% level or ...other commodity ...
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The Skewness of Commodity Futures Returns
... baseline commodity pricing model (featuring the , , and factors) with a set of factors that is deemed to explain the pricing of commodity futures (Hong and Yogo, 2012; Asness et ...systematic ...
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The Fundamentals of Commodity Futures Returns
... are risk-neutral. Hence, the commodity futures risk premium, which is central to the Theory of Normal Backwardation of Keynes and Hicks, is zero by ...of commodity futures presented in ...
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Empirical Risk Factors in Realized Stock Returns
... systematic risk of stocks is superior to ...capturing risk across several dimensions by complementing the CAPM beta with two additional risk factors – size (ln(ME)) and book-to-market equity ...
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Investing in Commodity Indices: Risk Factors and Trading Strategies
... a risk model and finding successful trading strategies for ...The risk factor model is generally used to reduce dimensions in various ...several factors than with many assets in a ...In risk ...
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Common Risk Factors in Explaining Canadian Equity Returns
... stock returns is the excess market return ...excess returns which form the dependent variables in the time-series regressions are presented in Table ...firm effect after controlling for ...
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Common Risk Factors in Stock Returns in the MENA Region
... factor effect would depend on the method used for calculating the size as well as the inclusion of extreme size ...value factors were relevant risk ...firms, which were valued significantly, ...
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Which Factors are Risk Factors in Asset Pricing? A Model Scan Framework
... isolate risk factors, from a given col- lection of potential risk factors, to explain the cross-section of expected ...that factors are traded portfolio excess returns or return ...
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The effect of realised volatility on stock returns risk estimates
... banks can incur into substantial trading ...”leverage effect” explained in Black (1976) and Christie (1982), according to which lower equity values lead to a higher debt-to-equity ratio that, in ...
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Effect of uncontrollable factors on constant returns-to-scale production technologies
... the effect of uncontrollable factors on constant returns-to-scale production technologies in data envelopment ...axiom returns to scale of production possibility set, model will secure variant ...
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Important factors which predict entrepreneur's perception in business risk
... ness risk categories for each composed variable are demonstrated in Table ...business risk and composed variables covering the business envi- ...it can be judged that those variables that have a low ...
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Can Macroeconomic Factors Explain Equity Returns in the Long Run? The Case of Jordan
... market returns and the state of the ...cycles which may affect the risk\return of stock markets (Gangemi et ...stock returns using the Arbitrage Pricing Theory ...oil which has been ...
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