The Resource Commodities and the market price of risk, Shaun K. Roache

Commodities and the market price of risk, Shaun K. Roache

Label
Commodities and the market price of risk
Title
Commodities and the market price of risk
Statement of responsibility
Shaun K. Roache
Creator
Contributor
Subject
Language
eng
Summary
Annotation.
Related
Member of
Action
digitized
Additional physical form
Online (ebrary)
Cataloging source
CaPaEBR
Characteristic
document
Dewey number
330.015195
LC call number
HB615
LC item number
.R633 2008eb
Summary expansion
Commodities are back following a stellar run of price performance, attracting financial investor attention. What are the fundamental reasons to hold commodities? One reason is the exposure offered to underlying risk factors. In this paper, I assess the macro risk exposure offered by commodity futures and test whether these risks are priced, using Merton's (1973) intertemporal capital asset pricing model for a sample of commodity prices covering the period January 1973 - February 2008. I find that commodity futures offer a hedge against lower interest rates and that investors are willing to accept lower expected returns for this position. Although some commodities are also a hedge against U.S. dollar depreciation, this risk is not priced
Label
Commodities and the market price of risk, Shaun K. Roache
Publication
Copyright
Note
  • "September 2008."
  • At head of title: Finance Department
Bibliography note
Includes bibliographical references
http://library.link/vocab/branchCode
  • net
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Control code
000053012174
Dimensions
unknown
Extent
1 online resource (25 pages)
Form of item
online
Isbn
9781451915327
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other physical details
illustrations (some color), graphs, tables
http://library.link/vocab/recordID
.b37208652
Reproduction note
Electronic reproduction.
Specific material designation
remote
System control number
  • (OCoLC)762469891
  • imf1451915322
System details
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.

Library Locations

    • Deakin University Library - Geelong Waurn Ponds CampusBorrow it
      75 Pigdons Road, Waurn Ponds, Victoria, 3216, AU
      -38.195656 144.304955
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