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- W2246247905 abstract "This paper examines expected mean reversion in six base metal prices using a unique dataset from the LME that consists of futures prices for contracts with maturity dates spanning from 1 to 27 months. We document significant evidence of mean reversion in spot prices for all these metals, although the magnitude of mean reversion differs across these markets. We also find that mean reversion in metal prices arises from a positive covariation between spot prices and implied cash flow yields rather from a negative correlation between spot prices and forward interst rates. Our results imply that metal futures prices are reasonably predictable conditional on the information of mean reversion." @default.
- W2246247905 created "2016-06-24" @default.
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- W2246247905 date "2009-10-01" @default.
- W2246247905 modified "2023-09-26" @default.
- W2246247905 title "Expected mean reversion in base metal prices" @default.
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