Matches in SemOpenAlex for { <https://semopenalex.org/work/W4300772623> ?p ?o ?g. }
- W4300772623 endingPage "100289" @default.
- W4300772623 startingPage "100289" @default.
- W4300772623 abstract "We find out-of-sample predictability of commodity futures excess returns using combination forecasts of 28 potential predictors. Such gains in forecast accuracy translate into economically significant improvements in certainty equivalent returns and Sharpe ratios for a mean–variance investor. Commodity return forecasts are closely linked to the real economy. Return predictability is countercyclical, and the combination forecasts of commodity returns have significant predictive power for future economic activity. Two-factor models featuring the market factor and the innovations in each of the combination forecasts explain a substantial proportion of the cross-sectional variation of both commodity and equity returns. The associated positive risk premiums are consistent with Merton’s (1973) intertemporal capital asset pricing model (ICAPM), given how the combination forecasts predict an increase in future economic activity and a decline in stock market volatility in the time-series. Overall, combination forecasts act as state variables within the ICAPM, thus resurrecting a central role for macroeconomic risk in determining expected returns on commodities." @default.
- W4300772623 created "2022-10-04" @default.
- W4300772623 creator A5022386192 @default.
- W4300772623 creator A5069209796 @default.
- W4300772623 creator A5073275422 @default.
- W4300772623 date "2023-09-01" @default.
- W4300772623 modified "2023-09-27" @default.
- W4300772623 title "Commodity futures return predictability and intertemporal asset pricing" @default.
- W4300772623 cites W1499433741 @default.
- W4300772623 cites W1519962128 @default.
- W4300772623 cites W1605276600 @default.
- W4300772623 cites W1789808336 @default.
- W4300772623 cites W1968569892 @default.
- W4300772623 cites W1985201787 @default.
- W4300772623 cites W1985375309 @default.
- W4300772623 cites W1986528915 @default.
- W4300772623 cites W1994331360 @default.
- W4300772623 cites W2007694684 @default.
- W4300772623 cites W2011043606 @default.
- W4300772623 cites W2015214744 @default.
- W4300772623 cites W2033273362 @default.
- W4300772623 cites W2037889385 @default.
- W4300772623 cites W2038601479 @default.
- W4300772623 cites W2047775520 @default.
- W4300772623 cites W2049115043 @default.
- W4300772623 cites W2079563517 @default.
- W4300772623 cites W2099954488 @default.
- W4300772623 cites W2104795328 @default.
- W4300772623 cites W2108731026 @default.
- W4300772623 cites W2117178635 @default.
- W4300772623 cites W2122298188 @default.
- W4300772623 cites W2127546500 @default.
- W4300772623 cites W2134807435 @default.
- W4300772623 cites W2137918734 @default.
- W4300772623 cites W2139116473 @default.
- W4300772623 cites W2144031751 @default.
- W4300772623 cites W2144570112 @default.
- W4300772623 cites W2161387316 @default.
- W4300772623 cites W2165764494 @default.
- W4300772623 cites W2274447940 @default.
- W4300772623 cites W2472584845 @default.
- W4300772623 cites W2735900636 @default.
- W4300772623 cites W2741744866 @default.
- W4300772623 cites W2770406733 @default.
- W4300772623 cites W2902773775 @default.
- W4300772623 cites W3121251852 @default.
- W4300772623 cites W3121328226 @default.
- W4300772623 cites W3121346496 @default.
- W4300772623 cites W3121493137 @default.
- W4300772623 cites W3121859128 @default.
- W4300772623 cites W3121937542 @default.
- W4300772623 cites W3122070388 @default.
- W4300772623 cites W3122764680 @default.
- W4300772623 cites W3122787368 @default.
- W4300772623 cites W3122930026 @default.
- W4300772623 cites W3123153847 @default.
- W4300772623 cites W3124053494 @default.
- W4300772623 cites W3124240298 @default.
- W4300772623 cites W3124385368 @default.
- W4300772623 cites W3124467391 @default.
- W4300772623 cites W3124536539 @default.
- W4300772623 cites W3124550551 @default.
- W4300772623 cites W3124690764 @default.
- W4300772623 cites W3124992754 @default.
- W4300772623 cites W3125152691 @default.
- W4300772623 cites W3125451843 @default.
- W4300772623 cites W3125467723 @default.
- W4300772623 cites W3125488123 @default.
- W4300772623 cites W3125564757 @default.
- W4300772623 cites W3126032441 @default.
- W4300772623 cites W3126059480 @default.
- W4300772623 cites W3206776788 @default.
- W4300772623 cites W4240040690 @default.
- W4300772623 cites W4243079420 @default.
- W4300772623 cites W4253764229 @default.
- W4300772623 cites W4376849508 @default.
- W4300772623 doi "https://doi.org/10.1016/j.jcomm.2022.100289" @default.
- W4300772623 hasPublicationYear "2023" @default.
- W4300772623 type Work @default.
- W4300772623 citedByCount "0" @default.
- W4300772623 crossrefType "journal-article" @default.
- W4300772623 hasAuthorship W4300772623A5022386192 @default.
- W4300772623 hasAuthorship W4300772623A5069209796 @default.
- W4300772623 hasAuthorship W4300772623A5073275422 @default.
- W4300772623 hasConcept C106159729 @default.
- W4300772623 hasConcept C106306483 @default.
- W4300772623 hasConcept C121332964 @default.
- W4300772623 hasConcept C139938925 @default.
- W4300772623 hasConcept C149782125 @default.
- W4300772623 hasConcept C151541453 @default.
- W4300772623 hasConcept C162324750 @default.
- W4300772623 hasConcept C17744445 @default.
- W4300772623 hasConcept C181236170 @default.
- W4300772623 hasConcept C197640229 @default.
- W4300772623 hasConcept C199539241 @default.
- W4300772623 hasConcept C199728807 @default.
- W4300772623 hasConcept C2780821815 @default.
- W4300772623 hasConcept C62520636 @default.