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The impact of exhaustibility on commodity prices: an event study approach
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Resumo(s)
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.
Descrição
Palavras-chave
Exhaustibility Commodities Event study