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Booms and Busts in Commodity Markets: Bubbles or Fundamentals?
16 references·0 citing·42 second hop
Booms and Busts in Commodity Markets: Bubbles or Fundamentals? (2014)Booms and Busts in Commodity Markets: Bub…Investor Flows and the 2008 Boom/Bust in Oil Prices (2013)Investor Flows and the 2008 B…The Fundamentals of Commodity Futures Returns (2012)The Fundamentals of Commodity…Index Investment and the Financialization of Commodities (2012)Index Investment and the Fina…Dating the timeline of financial bubbles during the subprime crisis (2011)Dating the timeline of financ…Index Investment and Financialization of Commodities (2010)Index Investment and Financia…How to Understand High Food Prices (2010)How to Understand High Food P…Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Deciphering the Liquidity and…Causes and Consequences of the Oil Shock of 2007–08 (2009)Causes and Consequences of th…Explaining the Variance of Price–Dividend Ratios (1992)Explaining the Variance of Pr…Pitfalls in Testing for Explosive Bubbles in Asset Prices (1991)Pitfalls in Testing for Explo…Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage (1987)Commodity Futures Prices: Som…Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…A Specification Test for Speculative Bubbles (1987)A Specification Test for Spec…Bubbles, Rational Expectations and Financial Markets (1982)Bubbles, Rational Expectation…Market Fundamentals versus Price-Level Bubbles: The First Tests (1980)Market Fundamentals versus Pr…Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)Time Series Analysis, Forecasting, and Control (1995)The monetary dynamics of hyperinflation (1956)Stock Prices and Social Dynamics (1984)Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)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)Rethinking the global food crisis: The role of trade shocks (2010)Index Funds, Financialization, and Commodity Futures Markets (2011)Volatility spillover between oil and agricultural commodity markets (2012)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Financialization of Commodity Markets (2013)Speculators, commodities and cross-market linkages (2013)A Model of Financialization of Commodities (2016)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)Evaluating Natural Resource Investments (1985)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)Facts and Fantasies about Commodity Futures (2006)Intermediary asset pricing: New evidence from many asset classes (2017)Determinants of corporate borrowing (1977)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Market Liquidity and Funding Liquidity (2008)Bank lending during the financial crisis of 2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Financialization, crisis and commodity correlation dynamics (2012)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks (2019)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Stock Prices, Earnings, and Expected Dividends (1988)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)
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References

  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 2009Deciphering the Liquidity and Credit Crunch 2007–20083,326 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 2012Index Investment and the Financialization of Commodities1,333 cited
  • 1982Bubbles, Rational Expectations and Financial Markets1,130 cited
  • 2009Causes and Consequences of the Oil Shock of 2007–081,101 cited
  • 1987Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage1,047 cited
  • 2012The Fundamentals of Commodity Futures Returns760 cited
  • 2010How to Understand High Food Prices738 cited
  • 2010Index Investment and Financialization of Commodities723 cited
  • 1991Pitfalls in Testing for Explosive Bubbles in Asset Prices685 cited
  • 2013Investor Flows and the 2008 Boom/Bust in Oil Prices616 cited
  • 2011Dating the timeline of financial bubbles during the subprime crisis586 cited
  • 1980Market Fundamentals versus Price-Level Bubbles: The First Tests544 cited
  • 1992Explaining the Variance of Price–Dividend Ratios482 cited

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1987
A Specification Test for Speculative Bubbles
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