SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A speculative bubble in commodity futures prices? Cross‐sectional evidence
12 references·16 citing·41 second hop
A speculative bubble in commodity futures prices? Cross‐sectional evidence (2010)A speculative bubble in commodity futures…The Fundamentals of Commodity Futures Returns (2012)The Fundamentals of Commodity…The Econometrics of Financial Markets (2012)The Econometrics of Financial…When speculation matters (2009)When speculation mattersDevil or Angel? The Role of Speculation in the Recent Commodity Price Boom (and Bust) (2009)Devil or Angel? The Role of S…Anatomy of a crisis: the causes and consequences of surging food prices (2008)Anatomy of a crisis: the caus…The Fundamentals of Commodity Futures Returns (2007)The Fundamentals of Commodity…The Econometrics of Financial Markets (1997)The Econometrics of Financial…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K. (1991)Seasonality in Stock Price Me…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Does the Stock Market Rationally Reflect Fundamental Values? (1986)Does the Stock Market Rationa…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Symmetric and asymmetric impact of economic policy uncertainty on food prices in China: A new evidence (2021)Symmetric and asymmetric impa…Speculators, Prices, and Market Volatility (2016)Speculators, Prices, and Mark…Speculative bubbles in agricultural prices (2014)Speculative bubbles in agricu…Exploring the WTI crude oil price bubble process using the Markov regime switching model (2014)Exploring the WTI crude oil p…Booms and Busts in Commodity Markets: Bubbles or Fundamentals? (2014)Booms and Busts in Commodity …The integration of sustainability into the theory and practice of finance: an overview of the state of the art and outline of future developments (2013)The integration of sustainabi…The Financialization of Commodity Markets (2013)The Financialization of Commo…Speculative trading and WTI crude oil futures price movement: An empirical analysis (2013)Speculative trading and WTI c…Bubbles, Food Prices, and Speculation: Evidence from the CFTC's Daily Large Trader Data Files (2013)Bubbles, Food Prices, and Spe…The Growing Financialisation of Commodity Markets: Divergences between Index Investors and Money Managers (2012)The Growing Financialisation …Speculative bubbles in agricultural commodity markets (2012)Speculative bubbles in agricu…Disentangling Corn Price Volatility: The Role of Global Demand, Speculation, and Energy (2012)Disentangling Corn Price Vola…Speculators, Prices and Market Volatility (2011)Speculators, Prices and Marke…New Evidence on the Impact of Index Funds in U.S. Grain Futures Markets (2011)New Evidence on the Impact of…The Impact of Index and Swap Funds on Commodity Futures Markets (2010)The Impact of Index and Swap …Navigating the perfect storm: reflections on the food, energy, and financial crises (2010)Navigating the perfect storm:…The Noise Trader Approach to Finance (1990)Understanding Crude Oil Prices (2008)Commodity Index Investing and Commodity Futures Prices (2009)Testing the Masters Hypothesis in commodity futures markets (2011)Drivers and triggers of international food price spikes and volatility (2013)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)The Limits of Arbitrage (1995)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)The General Theory of Employment, Interest and Money. (1936)The Framing of Decisions and the Psychology of Choice (1981)Stock Volatility and the Crash of '87 (1989)The econometrics of financial markets (1996)Investor Sentiment and Asset Valuation (2005)A Note On Rising Food Prices (2008)Food versus fuel: What do prices tell us? (2009)How to Understand High Food Prices (2010)Rethinking the global food crisis: The role of trade shocks (2010)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Evaluating Natural Resource Investments (1985)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)Facts and Fantasies about Commodity Futures (2006)Financialization of Commodity Markets (2013)A Model of Financialization of Commodities (2016)Intermediary asset pricing: New evidence from many asset classes (2017)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Safeguarding food security in volatile global markets. (2011)Food price volatility in sub-Saharan Africa (2014)Volatility linkages between energy and agricultural commodity prices (2015)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1986Does the Stock Market Rationally Reflect Fundamental Values?1,149 cited
  • 2012The Fundamentals of Commodity Futures Returns760 cited
  • 2008Anatomy of a crisis: the causes and consequences of surging food prices725 cited
  • 2009Devil or Angel? The Role of Speculation in the Recent Commodity Price Boom (and Bust)342 cited
  • 2009When speculation matters219 cited
  • 1991Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K.218 cited
  • 2007The Fundamentals of Commodity Futures Returns186 cited

Cited by

  • 2012Speculative bubbles in agricultural commodity markets142 cited
  • 2016Speculators, Prices, and Market Volatility135 cited
  • 2013The Financialization of Commodity Markets119 cited
  • 2010The Impact of Index and Swap Funds on Commodity Futures Markets

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

107 cited
  • 2011New Evidence on the Impact of Index Funds in U.S. Grain Futures Markets93 cited
  • 2012Disentangling Corn Price Volatility: The Role of Global Demand, Speculation, and Energy91 cited
  • 2014Speculative bubbles in agricultural prices88 cited
  • 2011Speculators, Prices and Market Volatility85 cited
  • 2013Bubbles, Food Prices, and Speculation: Evidence from the CFTC's Daily Large Trader Data Files83 cited
  • 2013Speculative trading and WTI crude oil futures price movement: An empirical analysis81 cited
  • 2010Navigating the perfect storm: reflections on the food, energy, and financial crises77 cited
  • 2012The Growing Financialisation of Commodity Markets: Divergences between Index Investors and Money Managers68 cited
  • 2013The integration of sustainability into the theory and practice of finance: an overview of the state of the art and outline of future developments65 cited
  • 2014Exploring the WTI crude oil price bubble process using the Markov regime switching model61 cited
  • 2021Symmetric and asymmetric impact of economic policy uncertainty on food prices in China: A new evidence59 cited
  • 2014Booms and Busts in Commodity Markets: Bubbles or Fundamentals?59 cited