On commodity market risk premiums: Additional evidence

1985 ◽  
Vol 5 (1) ◽  
pp. 121-125 ◽  
Author(s):  
Jennefer Baxter ◽  
Thomas E. Conine ◽  
Maurry Tamarkin
Keyword(s):  
Market Risk ◽  
Commodity Market ◽  
Risk Premiums

Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums

1973 ◽  
Vol 81 (6) ◽  
pp. 1387-1406 ◽  
Author(s):  
Katherine Dusak
Keyword(s):  
Market Risk ◽  
Commodity Market ◽  
Futures Trading ◽  
Risk Premiums ◽  
Investor Returns

Estimation of Canadian commodity market risk premiums under price limits: Two-phase fuzzy approach

Omega ◽  
2006 ◽  
Vol 34 (5) ◽  
pp. 477-491 ◽  
Author(s):  
Kamal Smimou
Keyword(s):  
Market Risk ◽  
Commodity Market ◽  
Fuzzy Approach ◽  
Price Limits ◽  
Two Phase ◽  
Risk Premiums

Emerging Market Risk Premiums

CFA Magazine ◽  
2005 ◽  
Vol 16 (2) ◽  
pp. 38-39
Author(s):  
Cynthia Harrington
Keyword(s):  
Emerging Market ◽  
Market Risk ◽  
Risk Premiums

Linear Beta Pricing with Inefficient Benchmarks

2013 ◽  
Vol 03 (01) ◽  
pp. 1350004 ◽  
Author(s):  
George Diacogiannis ◽  
David Feldman
Keyword(s):  
Asset Pricing ◽  
Market Risk ◽  
Expected Returns ◽  
Pricing Model ◽  
Pricing Models ◽  
Expected Return ◽  
Risk Premiums ◽  
Asset Pricing Models ◽  
Current Asset ◽  
Mean Variance

Current asset pricing models require mean-variance efficient benchmarks, which are generally unavailable because of partial securitization and free float restrictions. We provide a pricing model that uses inefficient benchmarks, a two-beta model, one induced by the benchmark and one adjusting for its inefficiency. While efficient benchmarks induce zero-beta portfolios of the same expected return, any inefficient benchmark induces infinitely many zero-beta portfolios at all expected returns. These make market risk premiums empirically unidentifiable and explain empirically found dead betas and negative market risk premiums. We characterize other misspecifications that arise when using inefficient benchmarks with models that require efficient ones. We provide a space geometry description and analysis of the specifications and misspecifications. We enhance Roll (1980), Roll and Ross's (1994), and Kandel and Stambaugh's (1995) results by offering a "Two Fund Theorem," and by showing the existence of strict theoretical "zero relations" everywhere inside the portfolio frontier.

scholarly journals The implications of first-order risk aversion for asset market risk premiums

1997 ◽  
Vol 40 (1) ◽  
pp. 3-39 ◽  
Author(s):  
Geert Bekaert ◽  
Robert J. Hodrick ◽  
David A. Marshall
Keyword(s):  
Risk Aversion ◽  
Market Risk ◽  
Asset Market ◽  
Risk Premiums ◽  
First Order

Impact of Commodity Market Risk on Listed Companies

2020 ◽  
pp. 89-98
Author(s):  
Bogdan Włodarczyk ◽  
Alberto Burchi ◽  
Marek Szturo
Keyword(s):  
Listed Companies ◽  
Market Risk ◽  
Commodity Market
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