SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

The predictive performance of commodity futures risk factors · Study

ArticleShelves

ArticleThe predictive performance of commodity futures risk factors

Shamim Ahmed2016

OA

Articlegreen2016

The predictive performance of commodity futures risk factors

Shamim Ahmed · Daniel Tsvetanov

23 citations·0/0 files stored·Journal of Banking & Finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 23 citations exist upstream.

References

1993Common risk factors in the returns on stocks and bonds 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1973Risk, Return, and Equilibrium: Empirical Tests 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1975THE 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.]2001The theory and practice of corporate finance: evidence from the field 1997Industry costs of equity 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2015Can currency-based risk factors help forecast exchange rates?article · 25 shared references 2013Are there common factors in individual commodity futures returns?article · 22 shared references 2015Long-Short Commodity Investing: A Review of the Literaturearticle · 20 shared references 2018Factor Based Commodity Investingarticle · 20 shared references 2013Advances in the Commodity Futures Literature: A Reviewarticle · 20 shared references 2016Macroeconomic factors and the cross-section of commodity futures returnsarticle · 20 shared references

Details

Year2016

Typearticle

Published2016-07-09

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations23

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.1016/j.jbankfin.2016.06.011

openalex_workW2472584845

Links

Imported from OpenAlex (CC0) — nothing here is generated.

Cited by

2021The Illusion of Oil Return Predictability: The Choice of Data Matters!