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Monetary policy uncertainty, positions of traders and changes in commodity futures prices
16 references·0 citing·38 second hop
Monetary policy uncertainty, positions of traders and changes in commodity futures prices (2017)Monetary policy uncertainty, positions of…Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…Measuring Uncertainty (2015)Measuring UncertaintyTime Series Momentum (2011)Time Series MomentumThe Impact of Uncertainty Shocks (2009)The Impact of Uncertainty Sho…The Impact of Uncertainty Shocks (2007)The Impact of Uncertainty Sho…Facts and Fantasies about Commodity Futures (2006)Facts and Fantasies about Com…What Explains the Stock Market's Reaction to Federal Reserve Policy? (2005)What Explains the Stock Marke…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Monetary policy surprises and interest rates: Evidence from the Fed funds futures market (2001)Monetary policy surprises and…The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Stochastic Behavior of Co…On the Estimation of Beta-Pricing Models (1992)On the Estimation of Beta-Pri…Evaluating Natural Resource Investments (1985)Evaluating Natural Resource I…Expectations and Exchange Rate Dynamics (1976)Expectations and Exchange Rat…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…A Treatise on Money (1971)A Treatise on MoneyCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (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)The Pricing of Options and Corporate Liabilities (1973)Determinants of corporate borrowing (1977)A Theory of the Term Structure of Interest Rates (1985)Entry and Exit Decisions under Uncertainty (1989)Irreversibility, Uncertainty, and Investment (1990)Domestic Financial Policies Under Fixed and Under Floating Exchange Rates (1962)Exchange rate expectations and monetary policy (1976)The Exchange Rate, The Balance Of Payments and Monetary and Fiscal Policy Under A Regime of Controlled Floating (1977)Empirical exchange rate models of the seventies (1983)Convergence Across States and Regions (1991)The Purchasing Power Parity Puzzle (1996)Irreversibility, Uncertainty, and Cyclical Investment (1980)Investment Under Uncertainty. (1994)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Measuring Geopolitical Risk (2022)Permanent and Temporary Components of Stock Prices (1988)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements (2004)Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? (2011)Uncertainty about Government Policy and Stock Prices (2012)Investment under Uncertainty (1994)Policy Uncertainty and Corporate Investment (2015)Editor's Choice Digesting Anomalies: An Investment ApproachThe Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Postwar U.S. Business Cycles: An Empirical Investigation (1997)COVID-Induced Economic Uncertainty (2020)Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuous Time (2004)COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)The Unprecedented Stock Market Reaction to COVID-19 (2020)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2016Measuring Economic Policy Uncertainty*12,809 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2009The Impact of Uncertainty Shocks5,941 cited
  • 1976Expectations and Exchange Rate Dynamics4,704 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 2015Measuring Uncertainty2,908 cited
  • 2005What Explains the Stock Market's Reaction to Federal Reserve Policy?2,382 cited
  • 1985Evaluating Natural Resource Investments2,379 cited
  • 2007The Impact of Uncertainty Shocks2,181 cited
  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 2001Monetary policy surprises and interest rates: Evidence from the Fed funds futures market2,054 cited
  • 1971A Treatise on Money1,747 cited
  • 1992On the Estimation of Beta-Pricing Models1,615 cited
  • 2011Time Series Momentum1,484 cited
  • 2006Facts and Fantasies about Commodity Futures1,389 cited

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