A carregar...
Publicação
Is there a low-risk premium in commodity markets?
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 258.18 KB | Adobe PDF |
Autores
Orientador(es)
Resumo(s)
This paper examines the existence of a low-risk anomaly in the asset class of commodity futures.
Using dynamic market betas as ranking variable for sorted portfolios, results indicate
that significant factors can be constructed by slightly altering the parameters used in previous
literature. When additional asset-specific risk measures are incorporated to sort assets into longshort
portfolios, especially low-drawdown portfolios yield abnormal returns with regards to the
benchmarks. Although not constituting an anomaly, findings on the compensation of tail risks
in the form of kurtosis, that consistently showed up significant throughout robustness tests, are
also reported.
Descrição
Palavras-chave
Commodity futures returns cross-sectional asset pricing Low risk anomaly Alternative risk premia