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- W2055393926 abstract "We explore whether there are common factors in the cross-section of individual commodity futures returns. We test various asset pricing models which have been employed for the equities market as well as models motivated by commodity pricing theories. The use of these families of models allows us also to test whether the commodities and equities market are integrated. In addition, we employ Principal Components factor models which do not require a priori specification of factors. We find that none of the models is successful. Our results imply that commodity markets are segmented from the equities market and they are considerably heterogeneous per se." @default.
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- W2055393926 date "2012-01-01" @default.
- W2055393926 modified "2023-09-23" @default.
- W2055393926 title "Are There Common Factors in Commodity Futures Returns?" @default.
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- W2055393926 doi "https://doi.org/10.2139/ssrn.2056186" @default.
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