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Facts and Fantasies about Commodity Futures
16 references·11 citing·38 second hop
Facts and Fantasies about Commodity Futures (2006)Facts and Fantasies about Commodity Futur…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …The Strategic and Tactical Value of Commodity Futures (2006)The Strategic and Tactical Va…What is an Oil Shock? (2000)What is an Oil Shock?Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets (1992)Systematic Risk, Hedging Pres…On the Behaviour of Commodity Prices (1992)On the Behaviour of Commodity…Primary Commodity Prices, Manufactured Goods Prices, and the Terms of Trade of Developing Countries: What the Long Run Shows (1988)Primary Commodity Prices, Man…Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage (1987)Commodity Futures Prices: Som…Biases in computed returns (1983)Biases in computed returnsAsset returns and inflation (1977)Asset returns and inflationThe pricing of commodity contracts (1976)The pricing of commodity cont…The Distribution of Gains between Investing and Borrowing Countries (1975)The Distribution of Gains bet…Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums (1973)Futures Trading and Investor …A Treatise on Money (1971)A Treatise on MoneyThe economic development of Latin America and its principal problems (1950)The economic development of L…Value and Capital (1939)Value and CapitalOn the correlation between commodity and equity returns: Implications for portfolio allocation (2016)On the correlation between co…Facts and Fantasies about Commodity Futures Ten Years Later (2015)Facts and Fantasies about Com…Exploiting commodity momentum along the futures curves (2014)Exploiting commodity momentum…The Financialization of Commodity Markets (2013)The Financialization of Commo…Should gold be included in institutional investment portfolios? (2013)Should gold be included in in…Does 'Paper Oil' Matter? Energy Markets’ Financialization and Equity-Commodity Co-Movements (2011)Does 'Paper Oil' Matter? Ener…Commodity Prices, Convenience Yields, and Inflation (2011)Commodity Prices, Convenience…Index Investment and Financialization of Commodities (2010)Index Investment and Financia…What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices? (2009)What Does Futures Market Inte…The Tactical and Strategic Value of Commodity Futures (2005)The Tactical and Strategic Va…Dynamic Commodity Timing Strategies (2004)Dynamic Commodity Timing Stra…Output Fluctuations in the United States: What Has Changed since the Early 1980's?Oil and the Macroeconomy since World War II (1983)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)The Economic Effects of Energy Price Shocks (2008)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)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 (1965)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)Expected stock returns and volatility (1987)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Theory of rational option pricing (2005)Rational Expectations and the Theory of Price Movements (1961)How Big Is the Random Walk in GNP? (1988)Do Gasoline Prices Respond Asymmetrically to Crude Oil Price Changes? (1997)Financialization of Commodity Markets (2013)Risk, Return, and Equilibrium: Empirical Tests (1973)Does the Stock Market Overreact? (1985)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Political Economy of the Resource Curse (1999)The Theory of Economic Development (2016)Three frames for innovation policy: R&D, systems of innovation and transformative change (2018)Coloniality of Power, Eurocentrism, and Latin America (2008)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Self-fulfilling prophecies (1981)The contingent valuation method: a review (2003)Rare Disasters, Asset Prices, and Welfare Costs (2009)The use of technical analysis in the foreign exchange market (1992)
this work references cited by second hop

References

  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 1950The economic development of Latin America and its principal problems3,314 cited
  • 1939Value and Capital2,893 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1977Asset returns and inflation2,701 cited
  • 2000What is an Oil Shock?2,194 cited
  • 1975The Distribution of Gains between Investing and Borrowing Countries1,834 cited
  • 1971A Treatise on Money1,728 cited
  • 1992On the Behaviour of Commodity Prices1,154 cited
  • 1987Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage1,047 cited
  • 2006The Strategic and Tactical Value of Commodity Futures1,037 cited
  • 1983Biases in computed returns771 cited
  • 1988Primary Commodity Prices, Manufactured Goods Prices, and the Terms of Trade of Developing Countries: What the Long Run Shows642 cited
  • 1992Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets538 cited
  • 1973Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums

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Cited by

  • 2011Commodity Prices, Convenience Yields, and Inflation157 cited
  • 2010Index Investment and Financialization of Commodities134 cited
  • 2005The Tactical and Strategic Value of Commodity Futures130 cited
  • 2009What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?121 cited
  • 2013The Financialization of Commodity Markets119 cited
  • 2015Facts and Fantasies about Commodity Futures Ten Years Later111 cited
  • 2016On the correlation between commodity and equity returns: Implications for portfolio allocation95 cited
  • 2011Does 'Paper Oil' Matter? Energy Markets’ Financialization and Equity-Commodity Co-Movements77 cited
  • 2013Should gold be included in institutional investment portfolios?58 cited
  • 2004Dynamic Commodity Timing Strategies39 cited
  • 2014Exploiting commodity momentum along the futures curves31 cited