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Marta Szymanowska

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Martijn Boons & Frans de Roon & Fernando M. Duarte & Marta Szymanowska, 2013. "Time-Varying Inflation Risk and Stock Returns," Staff Reports 621, Federal Reserve Bank of New York.

    Cited by:

    1. Michael Weber & Christian Dorion & Alexandre Jeanneret & Harjoat Bhamra, 2017. "Deflation, Sticky Leverage and Asset Prices," 2017 Meeting Papers 796, Society for Economic Dynamics.
    2. Doho, Libaud Rudy Aurelien & Somé, Sobom Matthieu & Banto, Jean Michel, 2023. "Inflation and west African sectoral stock price indices: An asymmetric kernel method analysis," Emerging Markets Review, Elsevier, vol. 54(C).
    3. Fernando M. Duarte & Carlo Rosa, 2015. "The equity risk premium: a review of models," Economic Policy Review, Federal Reserve Bank of New York, issue 2, pages 39-57.
    4. Jozef Barunik & Josef Kurka, 2021. "Risks of heterogeneously persistent higher moments," Papers 2104.04264, arXiv.org, revised Mar 2024.
    5. Dergunov, Ilya & Meinerding, Christoph & Schlag, Christian, 2019. "Extreme inflation and time-varying consumption growth," Discussion Papers 16/2019, Deutsche Bundesbank.
    6. Ibhagui, Oyakhilome, 2020. "Inflation Differential as a Driver of Cross-currency Basis Swap Spreads," MPRA Paper 100948, University Library of Munich, Germany.
    7. Pintor, Gabor, 2016. "The macroeconomic shock with the highest price of risk," LSE Research Online Documents on Economics 86225, London School of Economics and Political Science, LSE Library.
    8. Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2017. "Macro Risks and the Term Structure of Interest Rates," Finance and Economics Discussion Series 2017-058, Board of Governors of the Federal Reserve System (U.S.).
    9. Konchitchki, Yaniv & Xie, Jin, 2023. "Undisclosed material inflation risk," Journal of Monetary Economics, Elsevier, vol. 140(S), pages 82-100.
    10. Philip Schnorpfeil & Michael Weber & Andreas Hackethal, 2024. "Inflation and Trading," NBER Working Papers 32470, National Bureau of Economic Research, Inc.
    11. Nicolas Pesci & Jean-Philippe Aguilar & Victor James & Fabien Rouillé, 2022. "Inflation Forecasts and European Asset Returns: A Regime-Switching Approach," JRFM, MDPI, vol. 15(10), pages 1-20, October.
    12. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla I. & Masih, A. Mansur M., 2014. "The Role of Islamic Asset Classes in the Diversified Portfolios: Mean Variance Spanning Test," MPRA Paper 56857, University Library of Munich, Germany.
    13. Ron Alquist & Reinhard Ellwanger & Jianjian Jin, 2020. "The Effect of Oil Price Shocks on Asset Markets: Evidence from Oil Inventory News," Staff Working Papers 2020-8, Bank of Canada.
    14. Yu, Deshui & Huang, Difang & Chen, Li, 2023. "Stock return predictability and cyclical movements in valuation ratios," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 36-53.
    15. Dergunov, Ilya & Meinerding, Christoph & Schlag, Christian, 2022. "Extreme inflation and time-varying expected consumption growth," SAFE Working Paper Series 334, Leibniz Institute for Financial Research SAFE.
    16. Nakagawa, Kei & Suimon, Yoshiyuki, 2022. "Inflation rate tracking portfolio optimization method: Evidence from Japan," Finance Research Letters, Elsevier, vol. 49(C).
    17. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla & Masih, A. Mansur M., 2014. "Combining Momentum, Value, and Quality for the Islamic Equity Portfolio: Multi-style Rotation Strategies using Augmented Black Litterman Factor Model," MPRA Paper 56965, University Library of Munich, Germany.
    18. Jang, Bosung & So, Inhwan, 2024. "Stock returns and monetary policy stance," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 851-869.
    19. Pierlauro Lopez, 2021. "Welfare Implications of Asset Pricing Facts: Should Central Banks Fill Gaps or Remove Volatility?," Working Papers 21-16R, Federal Reserve Bank of Cleveland, revised 16 May 2023.
    20. Chen, Qi-An & Li, Huashi & Lin, Jianyi & Yan, Youliang, 2023. "Asset pricing with two types of heterogeneous consumption volatilities in mind: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    21. Karamti, Chiraz & Jeribi, Ahmed, 2023. "Stock markets from COVID-19 to the Russia–Ukraine crisis: Structural breaks in interactive effects panels," The Journal of Economic Asymmetries, Elsevier, vol. 28(C).
    22. Harjaat S. Bhamra & Christian Dorion & Alexandre Jeanneret & Michael Weber & Michael Weber, 2018. "Low Inflation: High Default Risk AND High Equity Valuations," CESifo Working Paper Series 7391, CESifo.
    23. Barroso, Pedro & Boons, Martijn & Karehnke, Paul, 2021. "Time-varying state variable risk premia in the ICAPM," Journal of Financial Economics, Elsevier, vol. 139(2), pages 428-451.
    24. Metiu, Norbert & Prieto, Esteban, 2023. "The macroeconomic effects of inflation uncertainty," Discussion Papers 32/2023, Deutsche Bundesbank.
    25. Boons, M.F., 2014. "Sorting out commodity and macroeconomic risk in expected stock returns," Other publications TiSEM 1ebdac58-bf37-499d-8835-1, Tilburg University, School of Economics and Management.
    26. Zarei, Samira, 2020. "Analyzing the Asymmetric Effects of Inflation and Exchange Rate Misalignments on the Petrochemical Stock index: The Case of Iran," MPRA Paper 99101, University Library of Munich, Germany.

  2. Szymanowska, M., 2006. "Essays on rational asset pricing," Other publications TiSEM 5886cd88-c481-41b7-aa48-d, Tilburg University, School of Economics and Management.

    Cited by:

    1. Rooderkerk, R.P., 2007. "Optimizing product lines and assortments," Other publications TiSEM fa544b38-604e-410b-a5da-1, Tilburg University, School of Economics and Management.
    2. Gary B. Gorton & Fumio Hayashi & K. Geert Rouwenhorst, 2007. "The Fundamentals of Commodity Futures Returns," NBER Working Papers 13249, National Bureau of Economic Research, Inc.
    3. Eiling, E., 2007. "Essays on International Finance and Asset Pricing," Other publications TiSEM 5f891179-600e-4965-a5eb-0, Tilburg University, School of Economics and Management.
    4. Gary Gorton & Fumio Hayashi & K. Rouwenhorst, 2007. "The Fundamentals of Commodity Futures Returns," Yale School of Management Working Papers amz2605, Yale School of Management, revised 01 Oct 2008.

Articles

  1. Boons, Martijn & Duarte, Fernando & de Roon, Frans & Szymanowska, Marta, 2020. "Time-varying inflation risk and stock returns," Journal of Financial Economics, Elsevier, vol. 136(2), pages 444-470.
    See citations under working paper version above.
  2. Marta Szymanowska & Frans Roon & Theo Nijman & Rob Goorbergh, 2014. "An Anatomy of Commodity Futures Risk Premia," Journal of Finance, American Finance Association, vol. 69(1), pages 453-482, February.

    Cited by:

    1. Nikolay Gospodinov & Ibrahim Jamali, 2013. "Monetary policy surprises, positions of traders, and changes in commodity futures prices," FRB Atlanta Working Paper 2013-12, Federal Reserve Bank of Atlanta.
    2. Bessembinder, Hendrik & Carrion, Allen & Tuttle, Laura & Venkataraman, Kumar, 2016. "Liquidity, resiliency and market quality around predictable trades: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 121(1), pages 142-166.
    3. Zaremba, Adam & Mikutowski, Mateusz & Karathanasopoulos, Andreas & Osman, Mohamed, 2019. "Picking winners to pick your winners: The momentum effect in commodity risk factors," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    4. Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joëlle, 2019. "A comprehensive appraisal of style-integration methods," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 134-150.
    5. Boon, L.N. & Brière, M. & Rigot, S., 2018. "Regulation and pension fund risk-taking," Journal of International Money and Finance, Elsevier, vol. 84(C), pages 23-41.
    6. Vijay Singal & Jitendra Tayal, 2020. "Risky short positions and investor sentiment: Evidence from the weekend effect in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 479-500, March.
    7. Jangkoo Kang & Kyung Yoon Kwon, 2021. "Volatility‐managed commodity futures portfolios," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(2), pages 159-178, February.
    8. Gurdip Bakshi & Xiaohui Gao & Alberto G. Rossi, 2019. "Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns," Management Science, INFORMS, vol. 65(2), pages 619-641, February.
    9. Bonnier, Jean-Baptiste, 2021. "Speculation and informational efficiency in commodity futures markets," Journal of International Money and Finance, Elsevier, vol. 117(C).
    10. Jilong Chen & Christian Ewald & Ruolan Ouyang & Sjur Westgaard & Xiaoxia Xiao, 2022. "Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil," Annals of Operations Research, Springer, vol. 313(1), pages 29-46, June.
    11. Naomi Boyd & Bingxin Li & Rui Liu, 2022. "Risk premia in the term structure of crude oil futures: long-run and short-run volatility components," Review of Quantitative Finance and Accounting, Springer, vol. 58(4), pages 1505-1533, May.
    12. Chu, Pyung Kun & Hoff, Kristian & Molnár, Peter & Olsvik, Magnus, 2022. "Crude oil: Does the futures price predict the spot price?," Research in International Business and Finance, Elsevier, vol. 60(C).
    13. Yang, Yurun & Göncü, Ahmet & Pantelous, Athanasios A., 2018. "Momentum and reversal strategies in Chinese commodity futures markets," International Review of Financial Analysis, Elsevier, vol. 60(C), pages 177-196.
    14. John Hua & Adrian Fernandez-Perez & Ana-Maria Fuertes & Joelle Miffre, 2020. "Speculative Pressure," Post-Print hal-02500777, HAL.
    15. Yan, Lei & Garcia, Philip, 2017. "Portfolio investment: Are commodities useful?," Journal of Commodity Markets, Elsevier, vol. 8(C), pages 43-55.
    16. Yang Liu & Liyan Han & Libo Yin, 2018. "Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non‐energy sectors," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(10), pages 1246-1261, October.
    17. Bannigidadmath, Deepa & Narayan, Paresh Kumar, 2021. "Economic news and the cross-section of commodity futures returns," Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).
    18. Furió, Dolores & Torró, Hipòlit, 2020. "Optimal hedging under biased energy futures markets," Energy Economics, Elsevier, vol. 88(C).
    19. Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2023. "Commodity futures return predictability and intertemporal asset pricing," Journal of Commodity Markets, Elsevier, vol. 31(C).
    20. Hossein Rad & Rand Kwong Yew Low & Joelle Miffre & Robert Faff, 2022. "The Strategic Allocation to Style-Integrated Portfolios of Commodity Futures," Post-Print hal-03881976, HAL.
    21. Paschke, Raphael & Prokopczuk, Marcel & Wese Simen, Chardin, 2020. "Curve momentum," Journal of Banking & Finance, Elsevier, vol. 113(C).
    22. Nguyen, Duc Binh Benno & Prokopczuk, Marcel, 2017. "Jumps in Commodity Markets," Hannover Economic Papers (HEP) dp-615, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    23. Fuertes, Ana-Maria & Zhao, Nan, 2023. "A Bayesian perspective on commodity style integration," Journal of Commodity Markets, Elsevier, vol. 30(C).
    24. Kim, Daehwan & Song, Chi-Young, 2014. "Country Fundamentals and Currency Excess Returns," East Asian Economic Review, Korea Institute for International Economic Policy, vol. 18(2), pages 111-142, June.
    25. Ames, Matthew & Bagnarosa, Guillaume & Matsui, Tomoko & Peters, Gareth W. & Shevchenko, Pavel V., 2020. "Which risk factors drive oil futures price curves?," Energy Economics, Elsevier, vol. 87(C).
    26. Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Gonzalez-Fernandez, Marcos & Miffre, Joelle, 2020. "Fear of hazards in commodity futures markets," Journal of Banking & Finance, Elsevier, vol. 119(C).
    27. Kuruppuarachchi, Duminda & Lin, Hai & Premachandra, I.M., 2019. "Testing commodity futures market efficiency under time-varying risk premiums and heteroscedastic prices," Economic Modelling, Elsevier, vol. 77(C), pages 92-112.
    28. Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joelle, 2021. "The risk premia of energy futures," Energy Economics, Elsevier, vol. 102(C).
    29. Qi Xu & Yang Ye, 2023. "Commodity network and predictable returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(10), pages 1423-1449, October.
    30. Main, Scott & Irwin, Scott H. & Sanders, Dwight R. & Smith, Aaron, 2018. "Financialization and the returns to commodity investments," Journal of Commodity Markets, Elsevier, vol. 10(C), pages 22-28.
    31. Fan, John Hua & Mo, Di & Zhang, Tingxi, 2022. "The “necessary evil” in Chinese commodity markets," Journal of Commodity Markets, Elsevier, vol. 25(C).
    32. Boos, Dominik & Grob, Linus, 2023. "Tracking speculative trading," Journal of Financial Markets, Elsevier, vol. 64(C).
    33. Shirui Wang & Tianyang Zhang, 2024. "Predictability of commodity futures returns with machine learning models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(2), pages 302-322, February.
    34. Yeguang Chi & Wenyan Hao & Jiangdong Hu & Zhenkai Ran, 2023. "An empirical investigation on risk factors in cryptocurrency futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(8), pages 1161-1180, August.
    35. Ahmed, Rashad, 2020. "Global Flight-to-Safety Shocks," MPRA Paper 103501, University Library of Munich, Germany.
    36. Adrian Fernandez-Perez & Bart Frijns & Ana-Maria Fuertes & Joelle Miffre, 2018. "The skewness of commodity futures returns," Post-Print hal-01678744, HAL.
    37. Giampietro, Marta & Guidolin, Massimo & Pedio, Manuela, 2018. "Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing," European Journal of Operational Research, Elsevier, vol. 265(2), pages 685-702.
    38. Prokopczuk, Marcel & Symeonidis, Lazaros & Wese Simen, Chardin & Wichmann, Robert, 2023. "Convenience yield risk," Energy Economics, Elsevier, vol. 120(C).
    39. Manuel Ammann & Mathis Moerke & Marcel Prokopczuk & Christoph Matthias Würsig, 2023. "Commodity tail risks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(2), pages 168-197, February.
    40. Cortazar, Gonzalo & Ortega, Hector & Rojas, Maximiliano & Schwartz, Eduardo S., 2021. "Commodity index risk premium," Journal of Commodity Markets, Elsevier, vol. 22(C).
    41. Yukun Liu & Aleh Tsyvinski & Xi Wu, 2022. "Common Risk Factors in Cryptocurrency," Journal of Finance, American Finance Association, vol. 77(2), pages 1133-1177, April.
    42. Marta Giampietro & Massimo Guidolin & Manuela Pedio, 2015. "Can No-Arbitrage SDF Models with Regime Shifts Explain the Correlations Between Commodity, Stock, and Bond Returns?," BAFFI CAREFIN Working Papers 1619, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    43. Li, Hemei & Liu, Zhenya & Zhao, Yuqian, 2023. "The Fortune and crash of common risk factors in Chinese commodity markets," Journal of Commodity Markets, Elsevier, vol. 32(C).
    44. Daniele Valenti & Matteo Manera & Alessandro Sbuelz, 2018. "Interpreting the Oil Risk Premium: do Oil Price Shocks Matter?," Working Papers 2018.03, Fondazione Eni Enrico Mattei.
    45. Geng, Qianjie & Wang, Yudong, 2024. "Forecasting the volatility of crude oil basis: Univariate models versus multivariate models," Energy, Elsevier, vol. 295(C).
    46. Jangkoo Kang & Kyung Yoon Kwon, 2020. "Can commodity futures risk factors predict economic growth?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(12), pages 1825-1860, December.
    47. Zhang, Lu & Hsieh, Pei-lin & Chen, Haiqiang, 2023. "COVID-19 and commodity pricing premium: Evidence from the Chinese market," Finance Research Letters, Elsevier, vol. 58(PA).
    48. Peter Christoffersen & Asger Lunde & Kasper V. Olesen, 2014. "Factor Structure in Commodity Futures Return and Volatility," CREATES Research Papers 2014-31, Department of Economics and Business Economics, Aarhus University.
    49. Joelle Miffre & Hossein Rad & Rand Kwong Yew Low & Robert Faff, 2023. "The commodity risk premium and neural networks," Post-Print hal-04322519, HAL.
    50. Yufeng Han & Lingfei Kong, 2022. "A trend factor in commodity futures markets: Any economic gains from using information over investment horizons?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 803-822, May.
    51. He, Chaohua & Jiang, Cheng & Molyboga, Marat, 2019. "Risk premia in Chinese commodity markets," Journal of Commodity Markets, Elsevier, vol. 15(C), pages 1-1.
    52. Pu, Yingjian & Yang, Baochen, 2022. "The commodity futures' historical basis in trading strategy and portfolio investment," Energy Economics, Elsevier, vol. 105(C).
    53. Boda Kang & Christina Sklibosios Nikitopoulos & Marcel Prokopczuk, 2019. "Economic Determinants of Oil Futures Volatility: A Term Structure Perspective," Research Paper Series 401, Quantitative Finance Research Centre, University of Technology, Sydney.
    54. Jesse Blocher & Ricky Cooper & Marat Molyboga, 2018. "Benchmarking commodity investments," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(3), pages 340-358, March.
    55. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, January.
    56. Jangkoo Kang & Kyung Yoon Kwon, 2019. "How about selling commodity futures losers?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(12), pages 1489-1514, December.
    57. Sercan Demiralay & Selcuk Bayraci & H. Gaye Gencer, 2019. "Time-varying diversification benefits of commodity futures," Empirical Economics, Springer, vol. 56(6), pages 1823-1853, June.
    58. Mellios, Constantin & Six, Pierre & Lai, Anh Ngoc, 2016. "Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield," European Journal of Operational Research, Elsevier, vol. 250(2), pages 493-504.
    59. Renata Guobužaitė & Deimantė Teresienė, 2021. "Can Economic Factors Improve Momentum Trading Strategies? The Case of Managed Futures during the COVID-19 Pandemic," Economies, MDPI, vol. 9(2), pages 1-16, May.
    60. Terence Tai-Leung Chong & Sunny Chun Tsui & Wing Hong Chan, 2017. "Factor pricing in commodity futures and the role of liquidity," Quantitative Finance, Taylor & Francis Journals, vol. 17(11), pages 1745-1757, November.
    61. Marcel Prokopczuk & Chardin Wese Simen & Robert Wichmann, 2021. "The dynamics of commodity return comovements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(10), pages 1597-1617, October.
    62. Charoula Daskalaki & George Skiadopoulos, 2014. "The Effects of Margin Changes on Commodity Futures Markets," Working Papers 736, Queen Mary University of London, School of Economics and Finance.
    63. Bianchi, Robert J. & Drew, Michael E. & Fan, John Hua, 2016. "Commodities momentum: A behavioral perspective," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 133-150.
    64. Kwon, Kyung Yoon & Kang, Jangkoo & Yun, Jaesun, 2020. "Weekly momentum in the commodity futures market," Finance Research Letters, Elsevier, vol. 35(C).
    65. Meng Han, 2023. "Commodity momentum and reversal: Do they exist, and if so, why?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1204-1237, September.
    66. Fan, John Hua & Qiao, Xiao, 2023. "Commodity momentum: A tale of countries and sectors," Journal of Commodity Markets, Elsevier, vol. 29(C).
    67. Martínez, Beatriz & Torró, Hipòlit, 2023. "Theory of storage implications in the European natural gas market," Journal of Commodity Markets, Elsevier, vol. 29(C).
    68. Hoang, Nam & Grieb, Terrance, 2018. "Hedging Positions, Basis, and Futures Risk Premium: A Disaggregated Data Analysis on US Wheat Markets," 2018 Annual Meeting, August 5-7, Washington, D.C. 273799, Agricultural and Applied Economics Association.
    69. Beatriz Martínez, Beatriz Martínez & Hipòlit Torró, Hipòlit Torró, 2016. "Anatomy of Risk Premium in UK Natural Gas Futures," ESP: Energy Scenarios and Policy 232212, Fondazione Eni Enrico Mattei (FEEM).
    70. Hevia, Constantino & Petrella, Ivan & Sola, Martin, 2016. "Risk premia and seasonality in commodity futures," Bank of England working papers 591, Bank of England.
    71. John Hua Fan & Tingxi Zhang, 2024. "Commodity premia and risk management," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(7), pages 1097-1116, July.
    72. Yukun Liu & Aleh Tsyvinski & Xi Wu, 2019. "Common Risk Factors in Cryptocurrency," NBER Working Papers 25882, National Bureau of Economic Research, Inc.
    73. Zaremba, Adam & Mikutowski, Mateusz & Szczygielski, Jan Jakub & Karathanasopoulos, Andreas, 2021. "The alpha momentum effect in commodity markets," Energy Economics, Elsevier, vol. 93(C).
    74. Gao, Lin & Süss, Stephan, 2015. "Market sentiment in commodity futures returns," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 84-103.
    75. Gao, Xin & Li, Bingxin & Liu, Rui, 2023. "The relative pricing of WTI and Brent crude oil futures: Expectations or risk premia?," Journal of Commodity Markets, Elsevier, vol. 30(C).
    76. Bohl, Martin T. & Irwin, Scott H. & Pütz, Alexander & Sulewski, Christoph, 2023. "The impact of financialization on the efficiency of commodity futures markets," Journal of Commodity Markets, Elsevier, vol. 31(C).
    77. Nikolaos T. Milonas & Evangelia K. Photina, 2024. "The convenience yield under commodity financialization," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(4), pages 631-652, April.
    78. Miffre, Joëlle, 2016. "Long-short commodity investing: A review of the literature," Journal of Commodity Markets, Elsevier, vol. 1(1), pages 3-13.
    79. Scott H. Irwin & Dwight R. Sanders & Aaron Smith & Scott Main, 2020. "Returns to Investing in Commodity Futures: Separating the Wheat from the Chaff," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 42(4), pages 583-610, December.
    80. Brooks, Chris & Fernandez-Perez, Adrian & Miffre, Joëlle & Nneji, Ogonna, 2016. "Commodity risks and the cross-section of equity returns," The British Accounting Review, Elsevier, vol. 48(2), pages 134-150.
    81. Rad, Hossein & Low, Rand Kwong Yew & Miffre, Joëlle & Faff, Robert, 2020. "Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 164-180.
    82. Hemei Li & Zhenya Liu & Shixuan Wang, 2022. "Vines climbing higher: Risk management for commodity futures markets using a regular vine copula approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2438-2457, April.
    83. Jesse Blocher & Marat Molyboga, 2017. "The Revealed Preference of Sophisticated Investors," European Financial Management, European Financial Management Association, vol. 23(5), pages 839-872, October.
    84. Charles W. Calomiris & Nida Çakır Melek & Harry Mamaysky, 2021. "Predicting the Oil Market," NBER Working Papers 29379, National Bureau of Economic Research, Inc.
    85. Daxuan Cheng & Yin Liao & Zheyao Pan, 2023. "The geopolitical risk premium in the commodity futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(8), pages 1069-1090, August.
    86. Liu, Yang & Han, Liyan & Xu, Yang, 2021. "The impact of geopolitical uncertainty on energy volatility," International Review of Financial Analysis, Elsevier, vol. 75(C).
    87. Moskowitz, Tobias J & Pedersen, Lasse Heje & Koijen, Ralph & Vrugt, Evert B., 2013. "Carry," CEPR Discussion Papers 9771, C.E.P.R. Discussion Papers.
      • Koijen, Ralph S.J. & Moskowitz, Tobias J. & Pedersen, Lasse Heje & Vrugt, Evert B., 2018. "Carry," Journal of Financial Economics, Elsevier, vol. 127(2), pages 197-225.
      • Ralph S.J. Koijen & Tobias J. Moskowitz & Lasse Heje Pedersen & Evert B. Vrugt, 2013. "Carry," NBER Working Papers 19325, National Bureau of Economic Research, Inc.
    88. Barbi, Massimiliano & Romagnoli, Silvia, 2018. "Skewness, basis risk, and optimal futures demand," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 14-29.
    89. Ahmed, Shamim & Tsvetanov, Daniel, 2016. "The predictive performance of commodity futures risk factors," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 20-36.
    90. Hugues Dastarac, 2021. "Strategic Trading, Welfare and Prices with Futures Contracts," Working papers 841, Banque de France.
    91. Nicole M. Moran & Scott H. Irwin & Philip Garcia, 2020. "Who Wins and Who Loses? Trader Returns and Risk Premiums in Agricultural Futures Markets," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 42(4), pages 611-652, December.
    92. Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joëlle, 2016. "Is idiosyncratic volatility priced in commodity futures markets?," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 219-226.
    93. Berger, Theo & Uddin, Gazi Salah, 2016. "On the dynamic dependence between equity markets, commodity futures and economic uncertainty indexes," Energy Economics, Elsevier, vol. 56(C), pages 374-383.
    94. Fernandez-Perez, Adrian & Miffre, Joëlle & Schoen, Tilman & Scott, Ayesha, 2023. "Do spot market auction data help price discovery?," Journal of Commodity Markets, Elsevier, vol. 31(C).
    95. Robert Czudaj, 2019. "Crude oil futures trading and uncertainty," Chemnitz Economic Papers 027, Department of Economics, Chemnitz University of Technology, revised Jan 2019.
    96. Vortelinos, Dimitrios I., 2014. "Non-parametric analysis of equity arbitrage," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 199-216.
    97. Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Wese Simen, Chardin, 2017. "The Risk Premium of Gold," Hannover Economic Papers (HEP) dp-616, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    98. Ioannis C. Moutzouris & Nikos K. Nomikos, 2019. "The formation of forward freight agreement rates in dry bulk shipping: Spot rates, risk premia, and heterogeneous expectations," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(8), pages 1008-1031, August.
    99. Haugom, Erik & Ray, Rina, 2017. "Heterogeneous traders, liquidity, and volatility in crude oil futures market," Journal of Commodity Markets, Elsevier, vol. 5(C), pages 36-49.
    100. Yoon, Seong-Min & Al Mamun, Md & Uddin, Gazi Salah & Kang, Sang Hoon, 2019. "Network connectedness and net spillover between financial and commodity markets," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 801-818.
    101. Cifuentes, Sebastián & Cortazar, Gonzalo & Ortega, Hector & Schwartz, Eduardo S., 2020. "Expected prices, futures prices and time-varying risk premiums: The case of copper," Resources Policy, Elsevier, vol. 69(C).
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    Cited by:

    1. Jonathan Fletcher, 2018. "An Examination of the Benefits of Factor Investing in U.K. Stock Returns," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(4), pages 154-170, April.
    2. Park, Jin Suk & Newaz, Mohammad Khaleq, 2021. "Liquidity and short-run predictability: Evidence from international stock markets," Global Finance Journal, Elsevier, vol. 50(C).
    3. Fletcher, Jonathan, 2018. "An empirical examination of the diversification benefits of U.K. international equity closed-end funds," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 23-34.
    4. Hansen, Erwin, 2022. "Economic evaluation of asset pricing models under predictability," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 50-66.
    5. Favero, Carlo A. & Tamoni, Andrea & Ortu, Fulvio & Yang, Haoxi, 2016. "Implications of Return Predictability across Horizons for Asset Pricing Models," CEPR Discussion Papers 11645, C.E.P.R. Discussion Papers.
    6. Michael Nwogugu, 2020. "Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences," Papers 2005.01709, arXiv.org.

  4. Marta Szymanowska & Jenke Ter Horst & Chris Veld, 2009. "Reverse convertible bonds analyzed," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 29(10), pages 895-919, October.

    Cited by:

    1. Massimo Guidolin & Giacomo Leonetti & Manuela Pedio, 2024. "Who should buy structured investment products and why?," BAFFI CAREFIN Working Papers 24222, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    2. Bednarek, Peter & Roling, Christoph, 2021. "Analysing funding costs advantages using European primary market bond yield spreads," Technical Papers 06/2021, Deutsche Bundesbank.
    3. Baller, Stefanie & Entrop, Oliver & Schober, Alexander & Wilkens, Marco, 2017. "What drives performance in the speculative market of short-term exchange-traded retail products?," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe B-26-17, University of Passau, Faculty of Business and Economics.
    4. Henderson, Brian J. & Pearson, Neil D. & Wang, Li, 2020. "Pre-trade hedging: Evidence from the issuance of retail structured products," Journal of Financial Economics, Elsevier, vol. 137(1), pages 108-128.
    5. Kunz, Alexis H. & Messner, Claude & Wallmeier, Martin, 2017. "Investors’ risk perceptions of structured financial products with worst-of payout characteristics," Journal of Behavioral and Experimental Finance, Elsevier, vol. 15(C), pages 66-73.
    6. Martin Wallmeier, 2011. "Beyond payoff diagrams: how to present risk and return characteristics of structured products," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(3), pages 313-338, September.
    7. Schertler, Andrea, 2021. "Listing of classical options and the pricing of discount certificates," Journal of Banking & Finance, Elsevier, vol. 123(C).
    8. Christian Bauer & Marc Oliver Rieger, 2021. "The Slow Death of Capital Protection," JRFM, MDPI, vol. 14(7), pages 1-8, July.
    9. Abreu, Margarida & Mendes, Victor, 2018. "The investor in structured retail products: Advice driven or gambling oriented?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 17(C), pages 1-9.
    10. Sabrina Orsi Kittani & Afonso De Campos Pinto, 2014. "Produtos Estruturados No Mercadobrasileiro: Uma Análise Sobre A Sua Valorização Entre 2006 E 2011," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 135, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    11. Entrop, Oliver & Fischer, Georg, 2019. "Hedging costs and joint determinants of premiums and spreads in structured financial products," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe B-34-19, University of Passau, Faculty of Business and Economics.
    12. Oliver Entrop & Georg Fischer, 2020. "Hedging costs and joint determinants of premiums and spreads in structured financial products," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1049-1071, July.
    13. Margaria Abreu & Victor Mendes, 2017. "The Investor in Structured Retail Products: Marketing Driven or Gambling Oriented?," Working Papers Department of Economics 2017/19, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    14. Schertler, Andrea, 2016. "Pricing effects when competitors arrive: The case of discount certificates in Germany," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 84-99.
    15. Kyoko Yagi & Katsushige Sawaki, 2010. "The Valuation Of Callable-Puttable Reverse Convertible Bonds," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 27(02), pages 189-209.
    16. Jonathan A. Batten & Karren Lee-Hwei Khaw & Martin R. Young, 2014. "Convertible Bond Pricing Models," Journal of Economic Surveys, Wiley Blackwell, vol. 28(5), pages 775-803, December.
    17. Vokata, Petra, 2021. "Engineering lemons," Journal of Financial Economics, Elsevier, vol. 142(2), pages 737-755.
    18. Baule, Rainer & Münchhalfen, Patrick & Shkel, David & Tallau, Christian, 2023. "Fair-washing in the market for structured retail products? Voluntary self-regulation versus government regulation," Journal of Banking & Finance, Elsevier, vol. 148(C).
    19. Rodrigo Hernández & Wayne Lee & Pu Liu & Tian-Shyr Dai, 2013. "Outperformance Certificates: analysis, pricing, interpretation, and performance," Review of Quantitative Finance and Accounting, Springer, vol. 40(4), pages 691-713, May.
    20. Baule, Rainer, 2011. "The order flow of discount certificates and issuer pricing behavior," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3120-3133, November.
    21. Rossella Agliardi, 2016. "Reverse convertible debt under credit risk," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-13, March.
    22. Hasan Cömert & Gerald Epstein, 2016. "Finansal Yenilik Yazinindaki Son Gelismeler," STPS Working Papers 1604, STPS - Science and Technology Policy Studies Center, Middle East Technical University, revised Jan 2016.
    23. Eickholt, Mathias & Entrop, Oliver & Wilkens, Marco, 2014. "What makes individual investors exercise early? Empirical evidence from the fixed-income market," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe 15, University of Passau, Faculty of Business and Economics.
    24. Baller, Stefanie & Entrop, Oliver & McKenzie, Michael & Wilkens, Marco, 2016. "Market makers’ optimal price-setting policy for exchange-traded certificates," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 206-226.
    25. Liu, Liang-Chih & Dai, Tian-Shyr & Zhou, Lei, 2024. "On the design of bail-in-able bonds from the perspective of non-financial firms," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1136-1155.
    26. Thorsten Hens & Marc Oliver Rieger, 2014. "Can utility optimization explain the demand for structured investment products?," Quantitative Finance, Taylor & Francis Journals, vol. 14(4), pages 673-681, April.
    27. Henderson, Brian J. & Pearson, Neil D., 2011. "The dark side of financial innovation: A case study of the pricing of a retail financial product," Journal of Financial Economics, Elsevier, vol. 100(2), pages 227-247, May.

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