Details
| Original language | English |
|---|---|
| Pages (from-to) | 59-87 |
| Number of pages | 29 |
| Journal | European Journal of Finance |
| Volume | 18 |
| Issue number | 1 |
| Publication status | Published - 1 Jan 2012 |
| Externally published | Yes |
Abstract
This article empirically investigates whether continuous time pricing models are able to help reveal mispriced commodity futures contracts. Mispricings are identified based on the difference between model and observed prices, using four different pricing models for four different commodity markets, namely crude oil, copper, silver, and gold. Pricing errors are found to carry informational content for future price movements in excess of the overall market. Investment strategies based on these pricing errors yield significant excess returns, particularly for the relatively small copper and silver markets.
Keywords
- commodity investment, futures, informational content
ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)
- Economics, Econometrics and Finance (miscellaneous)
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In: European Journal of Finance, Vol. 18, No. 1, 01.01.2012, p. 59-87.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Investing in commodity futures markets
T2 - Can pricing models help?
AU - Paschke, Raphael
AU - Prokopczuk, Marcel
PY - 2012/1/1
Y1 - 2012/1/1
N2 - This article empirically investigates whether continuous time pricing models are able to help reveal mispriced commodity futures contracts. Mispricings are identified based on the difference between model and observed prices, using four different pricing models for four different commodity markets, namely crude oil, copper, silver, and gold. Pricing errors are found to carry informational content for future price movements in excess of the overall market. Investment strategies based on these pricing errors yield significant excess returns, particularly for the relatively small copper and silver markets.
AB - This article empirically investigates whether continuous time pricing models are able to help reveal mispriced commodity futures contracts. Mispricings are identified based on the difference between model and observed prices, using four different pricing models for four different commodity markets, namely crude oil, copper, silver, and gold. Pricing errors are found to carry informational content for future price movements in excess of the overall market. Investment strategies based on these pricing errors yield significant excess returns, particularly for the relatively small copper and silver markets.
KW - commodity investment
KW - futures
KW - informational content
UR - http://www.scopus.com/inward/record.url?scp=84860853582&partnerID=8YFLogxK
U2 - 10.1080/1351847X.2011.601658
DO - 10.1080/1351847X.2011.601658
M3 - Article
AN - SCOPUS:84860853582
VL - 18
SP - 59
EP - 87
JO - European Journal of Finance
JF - European Journal of Finance
SN - 1351-847X
IS - 1
ER -