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Investment shocks and the commodity basis spread · Study

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ArticleInvestment shocks and the commodity basis spread

Fan Yang2013

OA

Articlegreen2013

Investment shocks and the commodity basis spread

161 citations·0/0 files stored·Journal of Financial Economics

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

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 161 citations exist upstream.

References

1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles 2013Value and Momentum Everywhere 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging 1992On the Estimation of Beta-Pricing Models

Cited by

2013Are there common factors in individual commodity futures returns?2020Production Networks and Stock Returns: The Role of Vertical Creative Destruction 2018Basis‐Momentum 2022Commodity Financialization and Information Transmission 2018External Equity Financing Shocks, Financial Flows, and Asset Prices 2017Economic significance of commodity return forecasts from the fractionally cointegrated VAR model 2015Long-Short Commodity Investing: A Review of the Literature 2013Carry

Details

Year2013

Typearticle

Published2013-05-04

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations161

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.1016/j.jfineco.2013.04.012

openalex_workW3124405067

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