Commodity Risk Factors and Intertemporal Asset Pricing

Adrian Fernadez-Perez, Ana-Maria Fuertes, Joëlle Miffre: This paper proposes a commodity-based specification of the Intertemporal CAPM (ICAPM) that uses state variables grounded on the theories of storage and hedging pressure.

Author(s):

Adrian Fernadez-Perez

Auckland University of Technology, Auckland

Ana-Maria Fuertes

Cass Business School, City University, London

Joelle Miffre

EDHEC Business School, Nice

Accordingly, factor-mimicking portfolios are formed by taking long positions in backwardated contracts and short positions in contangoed contracts according to either term structure, hedging pressure or momentum signals. The resulting portfolio returns are able to predict changes in the investment opportunity set of agents over long horizons in a way that is consistent with rational pricing by risk-adverse investors. Relative to several traditional implementations of the ICAPM, the proposed specification prices reasonably well a large cross-section of assets that include stocks, fixed income securities and commodity futures contracts.
Pdf
Commodity Risk Factors and Intertemporal Asset Pricing...
(-1.00 B)
Type: Working paper
Date: le 07/04/2014
Extra information : For more information, please contact EDHEC Research and Development Department [ research@drd.edhec.edu ]
Research Cluster : Finance

See Also

[Student Experience] Immersion trip - Welcome to San Francisco!
News
- 25-05-2018
Immersion Trip abroad: focus on EDHEC students' experience Silicon Valley is well-known...
News
- 25-05-2018
EDHEC-Risk Institute is pleased to announce that Kati Eriksson, Head of Investments, Aalto University Endowment have joined its international advisory board, which brings together...
The EDHEC PhD in Finance Programme adds two new alumni
News
- 21-05-2018
On 17 May 2017, two EDHEC PhD in Finance candidates (executive track), Stefano Dova and...
EDHEC Business School hosts the Family Business Extension  of the 38th Strategic Management Society (SMS) Annual Conference
News
- 18-05-2018
  Like in previous years, the 2018 Family Business Extension will bring together a...