Publicação
Basis-momentum
| dc.contributor.author | Boons, Martijn | |
| dc.contributor.author | Prado, Melissa Porras | |
| dc.contributor.institution | NOVA School of Business and Economics (NOVA SBE) | |
| dc.contributor.pbl | Wiley | |
| dc.date.accessioned | 2019-07-26T22:37:24Z | |
| dc.date.available | 2023-06-01T00:32:01Z | |
| dc.date.embargoedUntil | 2021-02-26 | |
| dc.date.issued | 2019-02 | |
| dc.description | Funding agency: Fundação para a Ciencia e Tecnologia (grant nr. UID/ECO/00124/2013), POR Lisboa (grant nr. LISBOA-01-0145-FEDER-007722) and POR Norte (Social Sciences DataLab grant nr 2209) | |
| dc.description.abstract | We introduce a return predictor related to the slope and curvature of the futures term structure: basis-momentum. Basis-momentum strongly outperforms benchmark characteristics in predicting commodity spot and term premiums in both the time series and the cross section. Exposure to basis-momentum is priced among commodity-sorted portfolios and individual commodities. We argue that basis-momentum captures imbalances in the supply and demand of futures contracts that materialize when the market-clearing ability of speculators and intermediaries is impaired, and that it represents compensation for priced risk. Our findings are inconsistent with alternative explanations based on storage, inventory, and hedging pressure. | en |
| dc.description.version | authorsversion | |
| dc.description.version | published | |
| dc.format.extent | 768330 | |
| dc.identifier.doi | 10.1111/jofi.12738 | |
| dc.identifier.issn | 0022-1082 | |
| dc.identifier.other | PURE: 10515248 | |
| dc.identifier.other | PURE UUID: d6389f6b-29ae-4e83-bcf8-89cd192c8a01 | |
| dc.identifier.other | Scopus: 85057860137 | |
| dc.identifier.other | WOS: 000456806700006 | |
| dc.identifier.uri | http://www.scopus.com/inward/record.url?scp=85057860137&partnerID=8YFLogxK | |
| dc.identifier.url | https://www.scopus.com/pages/publications/85057860137 | |
| dc.language.iso | eng | |
| dc.peerreviewed | yes | |
| dc.subject | Accounting | |
| dc.subject | Finance | |
| dc.subject | Economics and Econometrics | |
| dc.title | Basis-momentum | en |
| dc.type | journal article | |
| degois.publication.firstPage | 239 | |
| degois.publication.issue | 1 | |
| degois.publication.lastPage | 279 | |
| degois.publication.title | The Journal of Finance | |
| degois.publication.volume | 74 | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess |
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