Fear of hazards in commodity futures markets
Fernandez-Perez, A., Fuertes, A-M. 
ORCID: 0000-0001-6468-9845, Gonzalez-Fernandez, M. & Miffre, J. (2020).
Fear of hazards in commodity futures markets.
Journal of Banking and Finance, 119,
article number 105902.
doi: 10.1016/j.jbankfin.2020.105902
Abstract
We examine the commodity futures pricing role of active attention to weather, disease, geopolitical or economic threats or “hazard fear” as proxied by the volume of internet searches by 149 query terms. A long-short portfolio strategy that sorts the cross-section of commodity futures contracts according to a hazard fear signal captures a significant premium. This commodity hazard fear premium reflects compensation for extant fundamental, tail, volatility and liquidity risks factors, but it is not subsumed by them. Exposure to hazard-fear is strongly priced in the cross-section of commodity portfolios. The hazard fear premium exacerbates during periods of adverse sentiment or pessimism in financial markets.
| Publication Type: | Article |
|---|---|
| Additional Information: | © 2020. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/ |
| Publisher Keywords: | Commodity futures, Fear, Attention, Hazards, Internet searches, Sentiment, Long-short portfolios |
| Subjects: | H Social Sciences > HG Finance H Social Sciences > HJ Public Finance |
| Departments: | Bayes Business School > Finance |
| SWORD Depositor: |
Available under License Creative Commons Attribution Non-commercial Share Alike.
Download (1MB) | Preview
Export
Downloads
Downloads per month over past year
Metadata
MetadataActions (login required)
Admin Login