Investment Shocks and the Commodity Basis Spread

By Fan Yang. 2011

145 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Intermediary Asset Pricing: New Evidence from Many Asset Classes (2017, methodology): “25 This same data set is used by Yang (2013) and Gorton, Hayashi and”
Conditional Risk Premia in Currency Markets and Other Asset Classes (2014, unknown): “Column 3 presents the model based on the commodity and basis portfolio returns of Yang (2013) (RXcom and HMLcom).”
An Anatomy of Commodity Futures Risk Premia (2014, unknown): “It is similarly common in the commodity futures literature to relate expected futures returns to the (log) basis or carry (see, e.g., Fama (1984), Erb and Harvey (2006), Yang (2013), Gorton, Hayashi, and Rouwenhorst (2013), and Koijen et al. (2012)).”
Currency Premia and Global Imbalances (2016, unknown): “For the commodity portfolios, we take the seven commodity portfolios from Yang (2013).”