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- W2266139405 abstract "In this paper we study consumption risk pricing in commodity futures markets. We find that, like stock returns, the conditional Consumption CAPM explains up to 60% of the cross sectional variation in mean futures returns. However, unlike stock returns, using contemporaneous plus future consumption growth reduces the performance of the model. We attribute this result to the fact that for commodities supply changes impact prices and therefore consumption. Consistent with this notion we find that production- and inventory-based factors are significant determinants of the long run risk in commodities markets, which may explain the poor performance of ultimate consumption risk model." @default.
- W2266139405 created "2016-06-24" @default.
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- W2266139405 date "2010-01-01" @default.
- W2266139405 modified "2023-10-14" @default.
- W2266139405 title "The Cross-Section of Commodity Futures Returns" @default.
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- W2266139405 doi "https://doi.org/10.2139/ssrn.891073" @default.
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