RT info:eu-repo/semantics/article
T1 Hazard Fear in Commodity Markets
A1 Fernández Pérez, Adrián
A1 Fuertes, Ana María
A1 González Fernández, Marcos
A1 Miffre, Joelle
A2 Economia Financiera y Contabilidad
K1 Ecología. Medio ambiente
K1 Economía
K1 Commodity futures
K1 Long-short portfolios
K1 Supply and Demand
K1 Hazards
K1 Fear
K1 Search activity
AB [EN] We introduce a commodity futures return predictor related to “fear” about weather, disease, geopolitical and economic hazards that distress the commodity supply or demand. Using Google search volume data by 149 hazards as keywords, we define a commodity hazard-fear characteristic that reflects the extent and direction of its past excess returns’ comovement with the hazard-fear. Using this characteristic as trading signal in a long-short portfolio framework, we find a sizeable and significant commodity hazard-fear (CFEAR) premium. The CFEAR portfolio returns reflect some compensation for momentum, basis, skewness, basis-momentum, and illiquidity risks, but the risk-adjusted excess returns remain sizeable. Exposure to hazard-fear is strongly priced in the cross-section of individual commodity futures returns and commodity portfolios beyond known risk factors. We identify a significant role for investor sentiment in the CFEAR premia.
PB SSRN
LK https://hdl.handle.net/10612/18553
UL https://hdl.handle.net/10612/18553
NO Fernández Pérez, A., Fuertes, A. M., González Fernández, M., y Miffre, J. (2017). Hazard Fear in Commodity Markets. SSRN. https://www.ucm.es/data/cont/media/www/pag-92948/Fuertes_May19.pdf
DS BULERIA. Repositorio Institucional de la Universidad de León
RD 21-may-2024