Factor pricing in commodity futures and the role of liquidity

References

• Amihud, Y., Illiquidity and stock returns: Cross-section and time-series effects. J. Financ. Markets, 2002, 5(1), 31–56.10.1016/S1386-4181(01)00024-6
   Web of Science ®Google Scholar
• Amihud, Y. and Mendelson, H., Asset pricing and the bid-ask spread. J. Financ. Econ., 1986, 17(2), 223–249.10.1016/0304-405X(86)90065-6
   Web of Science ®Google Scholar
• Asness, C., Moskowitz, T.J. and Pedersen, L.H. Value and momentum everywhere. J. Finance, 2013, 68(3), 929–985.10.1111/jofi.12021
   Web of Science ®Google Scholar
• Bakshi, G., Gao, X. and Rossi, A. A better specified asset pricing model to explain the cross-section and time-series of commodity returns. Working Paper, University of Maryland, 2014.
   Google Scholar
• Basu, D. and Miffre, J., Capturing the risk premium of commodity futures: The role of hedging pressure. J. Bank. Financ., 2013, 37(7), 2652–2664.10.1016/j.jbankfin.2013.02.031
   Web of Science ®Google Scholar
• Belke, A., Bordon, I. and Hendricks, T., Global liquidity and commodity prices – A cointegrated VAR approach for OECD countries. Appl. Financ. Econ., 2010, 20, 227–242.10.1080/09603100903282713
   Google Scholar
• Belke, A., Bordon, I. and Volz, U., Effects of global liquidity on commodity and food prices. World Develop., 2012, 44, 31–43.
   Web of Science ®Google Scholar
• Brennan, M.J. and Subrahmanyam, A., Market microstructure and asset pricing: On the compensation for illiquidity in stock returns. J. Financ. Econ., 1996, 41(3), 441–464.10.1016/0304-405X(95)00870-K
   Web of Science ®Google Scholar
• Chan, W.H. and Feng, L., Time varying jump risk premia in stock index futures returns. J. Futures Markets, 2012, 32(7), 639–659.10.1002/fut.20540
   Web of Science ®Google Scholar
• Chan, W.H. and Maheu, J.M., Conditional jump dynamics in stock market returns. J. Bus. Econ. Stat., 2002, 20(3), 377–389.10.1198/073500102288618513
   Web of Science ®Google Scholar
• Chan, W.H., Wang, G. and Yang, L., Weather, inventory, and common jump dynamics in natural gas spot and futures markets. Rev. Futures Markets, 2010, 18(4), 363–384.
   Google Scholar
• Chan, W.H. and Young, D., Jumping hedges: An examination of movements in copper spot and futures markets. J. Futures Markets, 2006, 26(2), 169–188.10.1002/(ISSN)1096-9934
   Web of Science ®Google Scholar
• Cochrane, J.H., Asset Pricing, 2005 (Princeton University Press: Princeton, NJ).
   Google Scholar
• Daskalaki, C., Kostakis, A. and Skiadopoulos, G., Are there common factors in individual commodity futures returns? J. Bank. Financ., 2014, 40, 346–363.10.1016/j.jbankfin.2013.11.034
   Web of Science ®Google Scholar
• Dwyer, A., Gardner, G. and Williams, T. (2011). Global commodity markets – Price volatility and financialisation. RBA Bulletin, June, 49–57.
   Google Scholar
• Fama, E.F. and MacBeth, J.D., Risk, return, and equilibrium: Empirical tests. J. Polit. Econ., 1973, 81(3), 607–636.10.1086/260061
   Web of Science ®Google Scholar
• Friewald, N., Jankowitsch, R. and Subrahmanyam, M.G., Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises. J. Financ. Econ., 2012, 105(1), 18–36.10.1016/j.jfineco.2012.02.001
   Web of Science ®Google Scholar
• Fuertes, A.M., Miffre, J. and Rallis, G., Tactical allocation in commodity futures markets: Combining momentum and term structure signals. J. Bank. Financ., 2010, 34(10), 2530–2548.10.1016/j.jbankfin.2010.04.009
   Web of Science ®Google Scholar
• Hicks, J.R., Value and Capital, 1939 (Clarendon Press: Oxford).
   Google Scholar
• Hong, H. and Yogo, M., What does futures market interest tell us about the macroeconomy and asset prices? J. Financ. Econ., 2012, 105(3), 473–490.10.1016/j.jfineco.2012.04.005
   Web of Science ®Google Scholar
• Keynes, J.M., A Treatise on Money: The Pure Theory of Money, 1930 (Macmillan: London).
   Google Scholar
• Lin, H., Wang, J. and Wu, C., Liquidity risk and expected corporate bond returns. J. Financ. Econ., 2011, 99(3), 628–650.10.1016/j.jfineco.2010.10.004
   Web of Science ®Google Scholar
• Marshall, B.R., Nguyen, N.H. and Visaltanachoti, N., Commodity liquidity measurement and transaction costs. Rev. Financ. Stud., 2012, 25(2), 599–638.10.1093/rfs/hhr075
   Web of Science ®Google Scholar
• Miffre, J. and Rallis, G., Momentum strategies in commodity futures markets. J. Bank. Financ., 2007, 31(6), 1863–1886.10.1016/j.jbankfin.2006.12.005
   Web of Science ®Google Scholar
• Moskowitz, T.J., Ooi, Y.H. and Pedersen, L.H., Time series momentum. J. Financ. Econ., 2012, 104(2), 228–250.10.1016/j.jfineco.2011.11.003
   Web of Science ®Google Scholar
• Patton, A.J. and Timmermann, A., Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts. J. Financ. Econ., 2010, 98, 605–625.10.1016/j.jfineco.2010.06.006
   Web of Science ®Google Scholar
• Sheldon, B. and Chan, W.H. (2016) Volatility spillovers arising from the financialization of commodities. LCERPA Working Paper, Wilfrid Laurier University, 2016-2.
   Google Scholar
• Szymanowska, M., De Roon, F., Nijman, T. and Van Den Goorbergh, R., An anatomy of commodity futures risk premia. J. Finance, 2014, 69(1), 453–482.10.1111/jofi.12096
   Web of Science ®Google Scholar
• Yang, F., Investment shocks and the commodity basis spread. J. Financ. Econ., 2013, 110(1), 164–184.10.1016/j.jfineco.2013.04.012
   Web of Science ®Google Scholar