Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns

Author:

Bakshi Gurdip1ORCID,Gao Xiaohui1ORCID,Rossi Alberto G.1ORCID

Affiliation:

1. Smith School of Business, University of Maryland, College Park, Maryland 20742

Publisher

Institute for Operations Research and the Management Sciences (INFORMS)

Subject

Management Science and Operations Research,Strategy and Management

Reference74 articles.

1. Limits to arbitrage and hedging: Evidence from commodity markets

2. The Term Structure of Real Rates and Expected Inflation

3. Ang A, Liu J, Schwarz K (2010) Using stocks or portfolios in tests of factor models. Working paper, Columbia University, New York.

4. The Cross-Section of Volatility and Expected Returns

5. Value and Momentum Everywhere

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