Título
Fear of hazards in commodity futures markets
Autor
Facultad/Centro
Área de conocimiento
Título de la revista
Journal of Banking & Finance
Datos de la obra
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
Editor
Elsevier
Fecha
2020
ISSN
0378-4266
Abstract
[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.
Materia
Palabras clave
Idioma
eng
Tipo documental
info:eu-repo/semantics/article
Peer review
SI
URI
DOI
Versión del editor
https://www.sciencedirect.com/science/article/pii/S0378426620301680?via%3Dihub
Collections
- Untitled [5567]