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Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure
7 references·16 citing·47 second hop
Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure (1995)Mean Reversion in Equilibrium Asset Price…Mean Reversion in Stock Prices (1996)Mean Reversion in Stock PricesPermanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Mean reversion in stock prices (1988)Mean reversion in stock pricesBusiness Cycles and the Behavior of Metals Prices (1988)Business Cycles and the Behav…Mean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage (1987)Commodity Futures Prices: Som…The Supply of Storage (1976)The Supply of StorageCommodity Trade and the Carry Trade: A Tale of Two Countries (2017)Commodity Trade and the Carry…Global Biofuels: Key to the Puzzle of Grain Market Behavior (2014)Global Biofuels: Key to the P…Speculative bubbles in agricultural commodity markets (2012)Speculative bubbles in agricu…On irreversible investment (2010)On irreversible investmentModelling and measuring price discovery in commodity markets (2010)Modelling and measuring price…An overview of global gold market and gold price forecasting (2010)An overview of global gold ma…European Carbon Prices and Banking Restrictions: Evidence from Phase I (2005-2007) (2009)European Carbon Prices and Ba…A long-term view of worldwide fossil fuel prices (2009)A long-term view of worldwide…Fundamentals, Trader Activity and Derivative Pricing (2008)Fundamentals, Trader Activity…AnN‐factor Gaussian model of oil futures prices (2006)AnN‐factor Gaussian model of …Soybean Inventory and Forward Curve Dynamics (2005)Soybean Inventory and Forward…Forecasting short-run crude oil price using high- and low-inventory variables (2005)Forecasting short-run crude o…Valuation of exploration and production assets: an overview of real options models (2004)Valuation of exploration and …Modeling seasonality in agricultural commodity futures (2002)Modeling seasonality in agric…Valuing Managerial Flexibility: An Application of Real-Option Theory to Mining Investments (2001)Valuing Managerial Flexibilit…The Nature of Commodity Index Returns (2000)The Nature of Commodity Index…Futures Trading and the Storage of Cotton and Wheat (1958)BUBBLES AND FADS IN ASSET PRICES (1989)The Integration of Commercial Real Estate Markets and Stock Markets (1999)Limits to arbitrage and hedging: Evidence from commodity markets (2013)Proof that Properly Anticipated Prices Fluctuate Randomly (2015)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Behavior of Stock-Market Prices (1965)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Dynamics of global oil prices, exchange rate and precious metal prices in India (2012)Gold price volatility: A forecasting approach using the Artificial Neural Network–GARCH model (2015)Hedging oil price risk with gold during COVID-19 pandemic (2020)The United States Department of Agriculture (1912)A Theory of the Term Structure of Interest Rates (1985)Investment under Uncertainty (1994)A selected review of agricultural commodity futures and options markets (2004)The valuation of multidimensional American real options using the LSM simulation method (2006)Speculation and Economic Stability (1939)Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates (2005)Pricing Carbon: The European Union Emissions Trading Scheme (2010)A Treatise on Money (1971)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward and spot exchange rates (1984)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)What do we learn from the price of crude oil futures? (2010)Financialization of Commodity Markets (2013)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Asset Prices in an Exchange Economy (1978)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Futures Price Dynamics of CO2Emission Allowances:An Empirical Analysis of the Trial Period (2009)The oil price crash in 2014/15: Was there a (negative) financial bubble? (2016)Contemporaneous and Granger causality among US corn cash and futures prices (2018)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Stock Prices, Earnings, and Expected Dividends (1988)Investor Psychology and Asset Pricing (2001)Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations (1991)The use of technical analysis in the foreign exchange market (1992)Herd Behaviour, Bubbles and Crashes (1995)
this work references cited by second hop

References

  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1996Mean Reversion in Stock Prices1,083 cited
  • 1987Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage1,047 cited
  • 1976The Supply of Storage533 cited
  • 1988Business Cycles and the Behavior of Metals Prices447 cited

Cited by

  • 2010An overview of global gold market and gold price forecasting372 cited
  • 2002Modeling seasonality in agricultural commodity futures248 cited
  • 2010Modelling and measuring price discovery in commodity markets201 cited
  • 2009European Carbon Prices and Banking Restrictions: Evidence from Phase I (2005-2007)198 cited
  • 2001Valuing Managerial Flexibility: An Application of Real-Option Theory to Mining Investments172 cited
  • 2005Soybean Inventory and Forward Curve Dynamics157 cited
  • 2017Commodity Trade and the Carry Trade: A Tale of Two Countries154 cited
  • 2000The Nature of Commodity Index Returns151 cited

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

  • 2014Global Biofuels: Key to the Puzzle of Grain Market Behavior148 cited
  • 2010On irreversible investment144 cited
  • 2012Speculative bubbles in agricultural commodity markets142 cited
  • 2009A long-term view of worldwide fossil fuel prices140 cited
  • 2006AnN‐factor Gaussian model of oil futures prices124 cited
  • 2004Valuation of exploration and production assets: an overview of real options models124 cited
  • 2005Forecasting short-run crude oil price using high- and low-inventory variables124 cited
  • 2008Fundamentals, Trader Activity and Derivative Pricing123 cited