Broker-Dealer Risk Appetite and Commodity Returns
Preprint
- 1 January 2010
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
This paper shows that the risk-bearing capacity of U.S. securities brokers and dealers is a strong determinant of risk premia in commodity markets. Commodity deKeywords
This publication has 38 references indexed in Scilit:
- Bank for International Settlements (BIS)Published by Oxford University Press (OUP) ,2013
- Pricing the Term Structure with Linear RegressionsSSRN Electronic Journal, 2012
- Risk Appetite and Exchange RatesSSRN Electronic Journal, 2010
- Liquidity and leverageJournal of Financial Intermediation, 2008
- Financial Intermediaries, Financial Stability, and Monetary PolicySSRN Electronic Journal, 2008
- A Model of Investor SentimentPublished by National Bureau of Economic Research ,1997
- Systematic Risk, Hedging Pressure, and Risk Premiums in Futures MarketsThe Review of Financial Studies, 1992
- Time-varying risk premia and forecastable returns in futures marketsJournal of Financial Economics, 1992
- Consumption Risk in Futures MarketsThe Journal of Finance, 1980
- The pricing of commodity contractsJournal of Financial Economics, 1976