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Energy commodity uncertainties and the systematic risk of US industries · Study

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ArticleEnergy commodity uncertainties and the systematic risk of US industries

Muhammad Abubakr Naeem2019

Article2019

Energy commodity uncertainties and the systematic risk of US industries

Muhammad Abubakr Naeem · Faruk Balli · Syed Jawad Hussain Shahzad · Anne de Bruin

63 citations·0/0 files stored·Energy Economics

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Market Dynamics and Volatility Financial Risk and Volatility Modeling COVID-19 Pandemic Impacts

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1992The Cross-Section of Expected Stock Returns 2016Measuring Economic Policy Uncertainty*1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 2002Dynamic Conditional Correlation 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.]2009The Impact of Uncertainty Shocks 2011Better to give than to receive: Predictive directional measurement of volatility spillovers

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Year2019

Typearticle

Published2019-11-20

VenueEnergy Economics

ISSN-L0140-9883

Languageen

Citations63

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1016/j.eneco.2019.104589

openalex_workW2990375817

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