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Is Managed Futures an Asset Class? The Search for the Beta of Commodity Futures

https://doi.org/10.2139/ssrn.1029243
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/1096-9934(200010)20:9<803::aid-fut1>3.0.co;2-qopenalex-extracted
Normal backwardation is normal
inferredcites →https://doi.org/10.1002/fut.3990120108openalex-extracted
Is normal backwardation normal?
inferredcites →https://doi.org/10.1007/978-1-349-02693-7_10openalex-extracted
Normal Backwardation, Forecasting, and the Returns to Commodity Futures Traders
inferredcites →https://doi.org/10.1007/978-1-349-02693-7_5openalex-extracted
The Supply of Storage
inferredcites →https://doi.org/10.1007/978-1-349-02693-7_6openalex-extracted
Speculation and Economic Stability
inferredcites →https://doi.org/10.1007/978-1-349-02693-7_9openalex-extracted
The Search for a Risk Premium
inferredcites →https://doi.org/10.1016/0022-0531(73)90066-5openalex-extracted
Do Walras' identity and continuity characterize the class of community excess demand functions?
inferredcites →https://doi.org/10.1016/0022-0531(74)90100-8openalex-extracted
On the characterization of aggregate excess demand
inferredcites →https://doi.org/10.1016/0304-405x(81)90018-0openalex-extracted
The relationship between return and market value of common stocks
inferredcites →https://doi.org/10.1016/0304-4068(74)90032-9openalex-extracted
Excess demand functions
inferredcites →https://doi.org/10.1016/b978-0-12-780850-5.50018-6openalex-extracted
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,…
inferredcites →https://doi.org/10.1016/b978-075066007-5.50007-1openalex-extracted
Absolute returns in commodity (natural resource) futures investments
inferredcites →https://doi.org/10.1016/s0167-2681(01)00241-4openalex-extracted
Resistance is futile: the assimilation of behavioral finance
inferredcites →https://doi.org/10.1016/s0378-4266(99)00017-5openalex-extracted
Methodological issues in asset pricing: Random walk or chaotic dynamics
inferredcites →https://doi.org/10.1080/0960310210141732openalex-extracted
The cross section of expected futures returns and the Keynesian hypothesis
inferredcites →https://doi.org/10.1086/258036openalex-extracted
Futures Trading and the Storage of Cotton and Wheat
inferredcites →https://doi.org/10.1086/260061openalex-extracted
Risk, Return, and Equilibrium: Empirical Tests
inferredcites →https://doi.org/10.1086/260133openalex-extracted
Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums
inferredcites →https://doi.org/10.1086/261584openalex-extracted
Risk, Futures Pricing, and the Organization of Production in Commodity Markets
inferredcites →https://doi.org/10.1086/295472openalex-extracted
Capital Market Equilibrium with Restricted Borrowing
inferredcites →https://doi.org/10.1093/rfs/1.2.173openalex-extracted
Residual Risk, Trading Costs, and Commodity Futures Risk Premia:
inferredcites →https://doi.org/10.1111/j.1540-6261.1964.tb02865.xopenalex-extracted
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
inferredcites →https://doi.org/10.1111/j.1540-6261.1985.tb04943.xopenalex-extracted
An Investigation of Commodity Futures Prices Using the Consumption-Based Intertemporal Capital Asset Pricing Model
inferredcites →https://doi.org/10.1111/j.1540-6261.1992.tb04398.xopenalex-extracted
The Cross-Section of Expected Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb05201.xopenalex-extracted
The Conditional CAPM and the Cross-Section of Expected Returns
inferredcites →https://doi.org/10.1257/jep.5.1.129openalex-extracted
Is Probability Theory Relevant for Uncertainty? A Post Keynesian Perspective
inferredcites →https://doi.org/10.21034/qr.1941openalex-extracted
The CAPM Debate
inferredcites →https://doi.org/10.21034/sr.165openalex-extracted
The CAPM Is Alive and Well
inferredcites →https://doi.org/10.21034/sr.208openalex-extracted
inferredcites →https://doi.org/10.21034/sr.252openalex-extracted
The Existence of Rational Expectations Equilibrium: A Retrospective
inferredcites →https://doi.org/10.22004/ag.econ.134944openalex-extracted
Speculation and Hedging
inferredcites →https://doi.org/10.2307/1060008openalex-extracted
Microfoundations: A Critical Inquiry
inferredcites →https://doi.org/10.2307/1882087openalex-extracted
The General Theory of Employment
inferredcites →https://doi.org/10.2307/1909635openalex-extracted
Rational Expectations and the Theory of Price Movements
inferredcites →https://doi.org/10.2307/1911513openalex-extracted
Futures Trading, Rational Expectations, and the Efficient Markets Hypothesis
inferredcites →https://doi.org/10.2307/1928531openalex-extracted
Can Speculators Forecast Prices?
inferredcites →https://doi.org/10.2307/2980018openalex-extracted
Value and Capital: An Inquiry into Some Fundamental Principles of Economic Theory.
inferredcites →https://doi.org/10.2307/3006625openalex-extracted
Portfolio Selection: Efficient Diversification of Investments
inferredcites →https://doi.org/10.2469/dig.v36.n3.4235openalex-extracted
Facts and Fantasies about Commodity Futures
inferredcites →https://doi.org/10.2469/faj.v36.n3.27openalex-extracted
Risk and Return in Commodity Futures
inferredcites →https://doi.org/10.3386/w11222openalex-extracted
The Tactical and Strategic Value of Commodity Futures
inferredcites →https://doi.org/10.3905/jpm.1993.409462openalex-extracted
Beta and Return
inferredcites →https://doi.org/10.3905/jpm.23.2.86openalex-extracted
What is an Asset Class, Anyway?
inferredcites →https://doi.org/10.3905/jpm.9.3.12openalex-extracted
Commodity futures as a hedge against inflation
inferredcites →https://doi.org/10.1002/fut.3990070104openalex-snapshot
An application of arbitrage pricing theory to futures markets: Tests of normal backwardation

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.1609776openalex-extracted
Term Structure and Roll Yield: Not Your Father’s Backwardation
inferred← citeshttps://doi.org/10.1002/9781118656501.ch21openalex-snapshot
Managed Futures: Markets, Investment Characteristics, and Role in a Portfolio
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