Commodity Markets, Long-Run Predictability and Intertemporal Pricing
Joëlle Miffre, Ana-Maria Fuertes, Adrian Fernandez-Perez: This paper shows that backwardation versus contango factor-mimicking portfolios exhibit in-sample and out-of-sample predictive power for the first two moments of the distribution of long-run aggregate market returns and for the business cycle.
Auteur(s) :
EDHEC Business School
Cass Business School, City University London
Auckland University of Technology
It also demonstrates that a pricing model based on innovations to the backwardation versus contango risk factors explains relatively well a wide cross-section of equity portfolios. The cross-sectional “hedging” risk prices are economically consistent with the direction of long-run predictability of expected market returns and variances. Backwardation and contango risk factors thus act as plausible investment opportunity state variables in the context of Merton’s (1973) Intertemporal CAPM.
| Type : | Working paper |
|---|---|
| Date : | le 31/07/2015 |
| Complément d'informations |
For more information, please contact EDHEC Research and Development Department [ [email protected] ] |
| Pôle de recherche | Finance |
A voir également
A propos de l'EDHEC
Implantée à Lille, Nice, Paris, Londres et Singapour, l'EDHEC est l'une des 10 meilleures écoles de commerce d'Europe. Résolument internationale et directement connectée au monde des affaires, elle est reconnue pour l'excellence de sa recherche et sa capacité à former des entrepreneurs et des managers capables de faire bouger les lignes.
Véritable laboratoire d'idées, elle produit des solutions innovantes reconnues par les entreprises. Ses travaux de recherche irriguent son enseignement fondé sur la culture du «build people to build business» et du « learning by doing ».
