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Commodity Investing
16 references·8 citing·33 second hop
Commodity Investing (2012)Commodity InvestingInvestor Flows and the 2008 Boom/Bust in Oil Prices (2013)Investor Flows and the 2008 B…Index Investment and Financialization of Commodities (2010)Index Investment and Financia…The Strategic and Tactical Value of Commodity Futures (2006)The Strategic and Tactical Va…Facts and Fantasies about Commodity Futures (2006)Facts and Fantasies about Com…Hedging Pressure Effects in Futures Markets (2000)Hedging Pressure Effects in F…Equilibrium Forward Curves for Commodities (2000)Equilibrium Forward Curves fo…Competitive Storage and Commodity Price Dynamics (1996)Competitive Storage and Commo…Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets (1992)Systematic Risk, Hedging Pres…On the Behaviour of Commodity Prices (1992)On the Behaviour of Commodity…Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage (1987)Commodity Futures Prices: Som…On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills (1981)On Market Timing and Investme…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums (1973)Futures Trading and Investor …Futures Trading and the Storage of Cotton and Wheat (1958)Futures Trading and the Stora…Value and Capital: An Inquiry into Some Fundamental Principles of Economic Theory (1939)Value and Capital: An Inquiry…Speculation and Economic Stability (1939)Speculation and Economic Stab…They're back! Post-financialization diversification benefits of commodities (2019)They're back! Post-financiali…The impact of speculation on commodity futures markets – A review of the findings of 100 empirical studies (2016)The impact of speculation on …Is idiosyncratic volatility priced in commodity futures markets? (2016)Is idiosyncratic volatility p…Long-Short Commodity Investing: A Review of the Literature (2015)Long-Short Commodity Investin…Facts and Fantasies About Commodity Futures Ten Years Later (2015)Facts and Fantasies About Com…The Role of Index Trading in Price Formation in the Grains and Oilseeds Markets (2014)The Role of Index Trading in …Does the choice of performance measure influence the evaluation of commodity investments? (2014)Does the choice of performanc…The Financialization of Commodity Markets (2013)The Financialization of Commo…Rational Expectations and the Theory of Price Movements (1961)How Big Is the Random Walk in GNP? (1988)Do Gasoline Prices Respond Asymmetrically to Crude Oil Price Changes? (1997)Financialization of Commodity Markets (2013)CAPITAL 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 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)The Fundamentals of Commodity Futures Returns (2012)Momentum crashes (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)What is an Oil Shock? (2000)Information Uncertainty and Stock Returns (2006)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Speculators, commodities and cross-market linkages (2013)The Role of Speculation in Oil Markets: What Have We Learned So Far? (2013)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Options, Futures and Other Derivatives (2003)“Options, Futures, and Other Derivatives” (2016)The Simultaneous Determination of Spot and Futures Prices (1976)Business Cycles and the Behavior of Metals Prices (1988)Financialization, crisis and commodity correlation dynamics (2012)A Model of Financialization of Commodities (2016)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988 (1993)Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)
this work references cited by second hop

References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2006Facts and Fantasies about Commodity Futures1,389 cited
  • 1981On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills1,321 cited
  • 1992On the Behaviour of Commodity Prices1,154 cited
  • 1987Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage1,047 cited
  • 2006The Strategic and Tactical Value of Commodity Futures1,037 cited
  • 1939Speculation and Economic Stability913 cited
  • 2010Index Investment and Financialization of Commodities723 cited
  • 2013Investor Flows and the 2008 Boom/Bust in Oil Prices616 cited
  • 1958Futures Trading and the Storage of Cotton and Wheat553 cited
  • 1992Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets538 cited
  • 1996Competitive Storage and Commodity Price Dynamics524 cited
  • 1973Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums502 cited
  • 1939Value and Capital: An Inquiry into Some Fundamental Principles of Economic Theory494 cited
  • 2000Hedging Pressure Effects in Futures Markets478 cited

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  • 2000Equilibrium Forward Curves for Commodities475 cited
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    • 2013The Financialization of Commodity Markets119 cited
    • 2016The impact of speculation on commodity futures markets – A review of the findings of 100 empirical studies115 cited
    • 2015Long-Short Commodity Investing: A Review of the Literature62 cited
    • 2014The Role of Index Trading in Price Formation in the Grains and Oilseeds Markets53 cited
    • 2015Facts and Fantasies About Commodity Futures Ten Years Later36 cited
    • 2014Does the choice of performance measure influence the evaluation of commodity investments?35 cited
    • 2019They're back! Post-financialization diversification benefits of commodities33 cited
    • 2016Is idiosyncratic volatility priced in commodity futures markets?32 cited