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Article: Investment shocks and the commodity basis spread
Title | Investment shocks and the commodity basis spread |
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Authors | |
Keywords | Commodity futures Investment-based asset pricing Investment shocks Basis spread |
Issue Date | 2013 |
Publisher | Elsevier 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? |
Abstract | I 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 Identifier | http://hdl.handle.net/10722/192499 |
ISSN | 2021 Impact Factor: 8.238 2020 SCImago Journal Rankings: 11.673 |
SSRN | |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Yang, F | en_US |
dc.date.accessioned | 2013-11-15T02:19:48Z | - |
dc.date.available | 2013-11-15T02:19:48Z | - |
dc.date.issued | 2013 | en_US |
dc.identifier.citation | Journal of Financial Economics, 2013, v. 110 n. 1, p. 164-184 | en_US |
dc.identifier.issn | 0304-405X | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/192499 | - |
dc.description.abstract | I 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.language | eng | en_US |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jfec | en_US |
dc.relation.ispartof | Journal of Financial Economics | en_US |
dc.rights | This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License. | - |
dc.rights | NOTICE: 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.subject | Commodity futures | en_US |
dc.subject | Investment-based asset pricing | en_US |
dc.subject | Investment shocks | en_US |
dc.subject | Basis spread | en_US |
dc.title | Investment shocks and the commodity basis spread | en_US |
dc.type | Article | en_US |
dc.identifier.email | Yang, F: fanyang@hku.hk | en_US |
dc.identifier.authority | Yang, F=rp01551 | en_US |
dc.description.nature | preprint | - |
dc.identifier.doi | 10.1016/j.jfineco.2013.04.012 | - |
dc.identifier.scopus | eid_2-s2.0-84883277954 | - |
dc.identifier.hkuros | 222753 | en_US |
dc.identifier.volume | 110 | en_US |
dc.identifier.issue | 1 | en_US |
dc.identifier.spage | 164 | en_US |
dc.identifier.epage | 184 | en_US |
dc.identifier.isi | WOS:000324723600008 | - |
dc.publisher.place | Netherlands | en_US |
dc.identifier.ssrn | 1674090 | - |
dc.identifier.issnl | 0304-405X | - |