RT info:eu-repo/semantics/article
T1 Fear of hazards in commodity futures markets
A1 Fernández Pérez, Adrián
A1 Fuertes, Ana María
A1 González Fernández, Marcos
A1 Miffre, Joelle
A2 Economia Financiera y Contabilidad
K1 Finanzas
K1 Commodity futures
K1 Fear
K1 Attention
K1 Hazards
K1 Internet searches
K1 Sentiment
K1 Longshort portfolios
AB [EN] We examine the commodity futures pricing role of active attention to weather, disease, geopolitical or economic threats or “hazard fear” as proxied by the volume of internet searches by 149 query terms. A long-short portfolio strategy that sorts the cross-section of commodity futures contracts according to a hazard fear signal captures a significant premium. This commodity hazard fear premium reflects compensation for extant fundamental, tail, volatility and liquidity risks factors, but it is not subsumed by them. Exposure to hazard-fear is strongly priced in the cross-section of commodity portfolios. The hazard fear premium exacerbates during periods of adverse sentiment or pessimism in financial markets.
PB Elsevier
SN 0378-4266
LK https://hdl.handle.net/10612/21343
UL https://hdl.handle.net/10612/21343
NO Fernández-Pérez, A., Fuertes, A. M., González-Fernaádez, M., y Miffre, J. (2020). Fear of hazards in commodity futures markets. Journal of Banking & Finance, 119, 105902. https://doi.org/10.1016/J.JBANKFIN.2020.105902
DS BULERIA. Repositorio Institucional de la Universidad de León
RD 30-jun-2024