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Article: Investment shocks and the commodity basis spread

TitleInvestment shocks and the commodity basis spread
Authors
KeywordsCommodity futures
Investment-based asset pricing
Investment shocks
Basis spread
Issue Date2013
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jfec
Citation
Journal of Financial Economics, 2013, v. 110 n. 1, p. 164-184 How to Cite?
AbstractI identify a “slope” factor in the cross section of commodity futures returns: high-basis commodity futures have higher loadings on this factor than low-basis commodity futures. Combined with a level factor (an index of commodity futures), this slope factor explains most of the average excess returns of commodity futures portfolios sorted by basis. More importantly, I find that this factor is significantly correlated with investment shocks, which represent the technological progress in producing new capital. I investigate a competitive dynamic equilibrium model of commodity production to endogenize this correlation. The model reproduces the cross-sectional futures returns and many asset pricing tests.
Persistent Identifierhttp://hdl.handle.net/10722/192499
ISSN
2015 Impact Factor: 3.541
2015 SCImago Journal Rankings: 9.920
SSRN

 

DC FieldValueLanguage
dc.contributor.authorYang, Fen_US
dc.date.accessioned2013-11-15T02:19:48Z-
dc.date.available2013-11-15T02:19:48Z-
dc.date.issued2013en_US
dc.identifier.citationJournal of Financial Economics, 2013, v. 110 n. 1, p. 164-184en_US
dc.identifier.issn0304-405Xen_US
dc.identifier.urihttp://hdl.handle.net/10722/192499-
dc.description.abstractI identify a “slope” factor in the cross section of commodity futures returns: high-basis commodity futures have higher loadings on this factor than low-basis commodity futures. Combined with a level factor (an index of commodity futures), this slope factor explains most of the average excess returns of commodity futures portfolios sorted by basis. More importantly, I find that this factor is significantly correlated with investment shocks, which represent the technological progress in producing new capital. I investigate a competitive dynamic equilibrium model of commodity production to endogenize this correlation. The model reproduces the cross-sectional futures returns and many asset pricing tests.en_US
dc.languageengen_US
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jfecen_US
dc.relation.ispartofJournal of Financial Economicsen_US
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.rightsNOTICE: this is the author’s version of a work that was accepted for publication in <Journal of Financial Economics>. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in PUBLICATION, [VOL 110, ISSUE 1, (2013)] DOI 10.1016/j.jfineco.2013.04.012-
dc.subjectCommodity futuresen_US
dc.subjectInvestment-based asset pricingen_US
dc.subjectInvestment shocksen_US
dc.subjectBasis spreaden_US
dc.titleInvestment shocks and the commodity basis spreaden_US
dc.typeArticleen_US
dc.identifier.emailYang, F: fanyang@hku.hken_US
dc.identifier.authorityYang, F=rp01551en_US
dc.description.naturepreprint-
dc.identifier.doi10.1016/j.jfineco.2013.04.012-
dc.identifier.hkuros222753en_US
dc.identifier.volume110en_US
dc.identifier.issue1en_US
dc.identifier.spage164en_US
dc.identifier.epage184en_US
dc.publisher.placeNetherlandsen_US
dc.identifier.ssrn1674090-

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