Compartir
Título
Hazard Fear in Commodity Markets
Autor
Facultad/Centro
Área de conocimiento
Título de la revista
SSRN Electronic Journal
Datos de la obra
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
Editor
SSRN
Fecha
2017
Zusammenfassung
[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.
Materia
Palabras clave
Peer review
SI
URI
Versión del editor
Aparece en las colecciones
- Untitled [5104]
Dateien zu dieser Ressource
Tamaño:
821.1
xmlui.dri2xhtml.METS-1.0.size-kilobytes
Formato:
Adobe PDF