Publicação
The impact of exhaustibility on commodity prices: an event study approach
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Boons, Martijn | |
| dc.contributor.author | Timpano, Matteo | |
| dc.date.accessioned | 2019-06-24T09:55:37Z | |
| dc.date.available | 2019-06-24T09:55:37Z | |
| dc.date.issued | 2019-01-15 | |
| dc.description.abstract | The objective of this work is to study the impact of exhaustibility on spot and futures prices of a specific set of resources, whose future limited availability and low substitutability performance have been highlighted by scientific papers. I modelled exhaustibility as a set of events, which might raise investors’ awareness regarding the intrinsic scarce nature of the commodities selected. I conducted an event study using ordinary least squares regressions for nine commodities over the sample 10/09/1993 – 10/09/2018 with event dummy variables grouped into eight categories. Regression results assert the presence of abnormal return in correspondence with the selected occurrences; however, it is difficult to determine a universally valid pattern in terms of significance and direction of the effect. | pt_PT |
| dc.identifier.tid | 202226140 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10362/73477 | |
| dc.language.iso | eng | pt_PT |
| dc.subject | Exhaustibility | pt_PT |
| dc.subject | Commodities | pt_PT |
| dc.subject | Event study | pt_PT |
| dc.title | The impact of exhaustibility on commodity prices: an event study approach | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics | pt_PT |