WebThis commodity hazard fear premium reflects compensation for extant fundamental, tail, volatility and liquidity risks factors, but it is not subsumed by them. Exposure to … WebExposure to hazard-fear is strongly priced in the cross-section of commodity portfolios. The hazard fear premium exacerbates during periods of adverse sentiment or …
Fear of Hazards in Commodity Futures Markets
WebJul 1, 2024 · Exposure to hazard-fear is strongly priced in the cross-section of commodity portfolios. The hazard fear premium exacerbates during periods of adverse … WebFeb 28, 2024 · The immediate focus is on disruption to Black Sea trade, which includes millions of barrels of oil a day and about a quarter of the world’s grain exports. While Russian raw materials were so far... conflict definition in business
Data at CFTC CFTC - Commodity Futures Trading Commission
WebJun 1, 2024 · Fear of hazards in commodity futures markets. J. Bank. Finance (2024) I.O. Fasanya et al. Are commodity prices good predictors of inflation? The African perspective ... Our results suggest that the anomalous returns from the traditional 12-month momentum strategy in the commodity futures markets mainly stem from the strong … WebAbstract. 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 i WebA long-short portfolio strategy that sorts the cross-section of commodity futures by a hazard fear signal – inferred from the co-movement of past excess returns with “active … conflict desert storm pc multiplayer