Commodity returns co-movements: Fundamentals or “style” effect?

نویسندگان
چکیده

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Returns Premia on Company Fundamentals

This paper studies the excess returns on stocks, associated to various company fundamentals on a panel of US stocks from 1979 to 2008. The returns premia are measured using a random coefficient panel data model on the individual stock level. We show that the HML and SMB factors in the Fama and French model probably have no particular economic meaning as sources of systematic risk other than bei...

متن کامل

Forecasting Returns with Fundamentals-Removed Investor Sentiment

The Baker and Wurgler (2006) sentiment index purports to measure irrational investor sentiment, while the University of Michigan Consumer Sentiment Index is designed to largely reflect fundamentals. Removing this fundamental component from the Baker and Wurgler index creates an index of investor sentiment that may better capture irrational sentiment. This new index predicts returns better than ...

متن کامل

Policy Responses to Commodity Price Movements — 2

B etween 1986 and 1998, the price of a barrel of West Texas Intermediate (WTI) oil remained quite stable, fluctuating between $16 and $42 constant 2011-U.S. dollars, with the exception of a brief spike in 1990 at the time of the first Gulf War. In December 1998, the barrel of WTI had reached a low point of $17. Almost 10 years later, in July 2008, the same barrel cost $134. By March 2009, the p...

متن کامل

Recent Commodity Price Movements in Historical Perspective

Important agricultural commodity prices more than tripled from prices observed in 2005 and 2006 to those observed in the spring and summer of 2008. Prices subsequently fell precipitously so that by early November 2008 (and continuing in the subsequent few months), the near-term futures prices of corn, wheat, and soybeans stood about 50–70% higher than before the price run-up began.1 The huge pe...

متن کامل

Value versus Growth: Movements in Economic Fundamentals

We study the cyclical behavior of economic fundamentals for value and growth firms. Our goal is to evaluate the empirical relevance of recent rational theories of the value premium. We find that the fundamentals of value firms are more adversely affected by negative business cycle shocks than those of growth firms. And the differential response is mostly significant. We also examine the potenti...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Journal of International Money and Finance

سال: 2016

ISSN: 0261-5606

DOI: 10.1016/j.jimonfin.2016.07.001