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A Decomposition of the Cross-Section of Commodity Returns

https://doi.org/10.2139/ssrn.4897504
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Outgoing claims: the papers this work cites, builds on, or argues with.

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The dynamics of commodity return comovements
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Commodity momentum and reversal: Do they exist, and if so, why?
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An intertemporal asset pricing model with stochastic consumption and investment opportunities
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Common risk factors in the returns on stocks and bonds
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Commodity risks and the cross-section of equity returns
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Convenience Yield Risk
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Commodity index trading and hedging costs
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A dynamic model of hedging and speculation in the commodity futures markets
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Impact of speculation and economic uncertainty on commodity markets
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Is idiosyncratic volatility priced in commodity futures markets?
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Macroeconomic risk and the cross-section of stock returns
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Are there common factors in individual commodity futures returns?
inferredcites →https://doi.org/10.1016/j.jbankfin.2020.105807openalex-snapshot
Factor Based Commodity Investing
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Commodities' common factor: An empirical assessment of the markets' drivers
inferredcites →https://doi.org/10.1016/j.jcomm.2018.05.004openalex-snapshot
Financialization and the returns to commodity investments
inferredcites →https://doi.org/10.1016/j.jcomm.2018.05.005openalex-snapshot
An update on speculation and financialization in commodity markets
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Risk Premia in Chinese Commodity Markets
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Limits to arbitrage and hedging: Evidence from commodity markets
inferredcites →https://doi.org/10.1016/j.jfineco.2014.10.010openalex-snapshot
A five-factor asset pricing model
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Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage
inferredcites →https://doi.org/10.1016/j.resourpol.2019.101520openalex-snapshot
Testing the predictability of commodity prices in stock returns of G7 countries: Evidence from a new approach
inferredcites →https://doi.org/10.1086/260061openalex-snapshot
Risk, Return, and Equilibrium: Empirical Tests
inferredcites →https://doi.org/10.1086/260133openalex-snapshot
Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums
inferredcites →https://doi.org/10.1086/262034openalex-snapshot
A Cross-Sectional Test of an Investment-Based Asset Pricing Model
inferredcites →https://doi.org/10.1086/296385openalex-snapshot
Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage
inferredcites →https://doi.org/10.1111/0022-1082.00260openalex-snapshot
Asset Pricing at the Millennium
inferredcites →https://doi.org/10.1111/0022-1082.00310openalex-snapshot
Explaining the Poor Performance of Consumption‐based Asset Pricing Models
inferredcites →https://doi.org/10.1111/j.1540-6261.1985.tb04943.xopenalex-snapshot
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-snapshot
The Cross-Section of Expected Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb05201.xopenalex-snapshot
The Conditional CAPM and the Cross-Section of Expected Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03808.xopenalex-snapshot
On Persistence in Mutual Fund Performance
inferredcites →https://doi.org/10.1111/jofi.12096openalex-snapshot
An Anatomy of Commodity Futures Risk Premia
inferredcites →https://doi.org/10.1111/jofi.12408openalex-snapshot
A Model of Financialization of Commodities
inferredcites →https://doi.org/10.1111/jofi.12738openalex-snapshot
Basis‐Momentum
inferredcites →https://doi.org/10.1111/jofi.13165openalex-snapshot
Commodity Financialization and Information Transmission
inferredcites →https://doi.org/10.1142/s2010139221500178openalex-snapshot
Anomalies in Commodity Futures Markets
inferredcites →https://doi.org/10.1146/annurev-financial-110613-034432openalex-snapshot
Financialization of Commodity Markets
inferredcites →https://doi.org/10.12775/equil.2013.014openalex-snapshot
Commodities as a Tool of Risk Diversification
inferredcites →https://doi.org/10.1287/mnsc.2017.2840openalex-snapshot
Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns
inferredcites →https://doi.org/10.2139/ssrn.1105546openalex-snapshot
Limits to Arbitrage and Hedging: Evidence from Commodity Markets
inferredcites →https://doi.org/10.2139/ssrn.1344134openalex-snapshot
Macroeconomic Risk and the Cross-Section of Stock Returns
inferredcites →https://doi.org/10.2139/ssrn.891073openalex-snapshot
The Cross-Section of Commodity Futures Returns
inferredcites →https://doi.org/10.2307/2234529openalex-snapshot
The Present Value Model of Rational Commodity Pricing
inferredcites →https://doi.org/10.2307/2526578openalex-snapshot
Hypothesis Testing with Efficient Method of Moments Estimation
inferredcites →https://doi.org/10.2469/faj.v36.n3.27openalex-snapshot
Risk and Return in Commodity Futures
inferredcites →https://doi.org/10.2469/faj.v68.n6.5openalex-snapshot
Index Investment and the Financialization of Commodities
inferredcites →https://doi.org/10.2469/faj.v74.n2.4openalex-snapshot
Commodities for the Long Run
inferredcites →https://doi.org/10.4324/9781003547150-7openalex-snapshot
A treatise on money: the pure theory of money
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