資源描述：
《Estimating Oil Risk Factors Using Information from Equity and Derivatives Markets 》由會員上傳分享，免費在線閱讀，更多相關內(nèi)容在學術論文-天天文庫。
1、THEJOURNALOFFINANCE?VOL.LXX,NO.2?APRIL2015EstimatingOilRiskFactorsUsingInformationfromEquityandDerivativesMarketsI-HSUANETHANCHIANG,W.KEENERHUGHEN,andJACOBS.SAGI?ABSTRACTWeintroduceanovelapproachtoestimatinglatentoilriskfactorsandestablishtheirsigni?canc
2、einpricingnonoilsecurities.Ourmodel,whichfeaturesfourfactorswithsimpleeconomicinterpretations,isestimatedusingbothderivativepricesandoil-relatedequityreturns.The?tisexcellentinandoutofsample.Theextractedoilfactorscarrysigni?cantriskpremia,andaresigni?can
3、tlyrelatedtomacroeconomicvariablesaswellasportfolioreturnssortedoncharacteristicsandindustry.Theaveragenonoilportfolioexhibitsasensitivitytotheoilfactorsamountingtoasixth(inmagnitude)ofthatoftheoilindustryitself.FEW,IFANY,COMMODITIEShavebeenthefocusofmor
4、eattentionfortheirper-ceivedeconomicsigni?cancethanoil.Whilethereisstrongevidencerelatingoilpricestothebusinesscycle,thenatureoftherelationshipisnonlinear,time-varying,anddif?culttoattributetoanysinglesourcesuchaspoliticaluncer-tainty,carteldecisions,org
5、lobaleconomicconditions(seeHamilton(2003)andBarskyandKilian(2004)).Despiteitsprominenceinthebusinessmediaandeconomicsliterature,anddespitethewell-documentedroleofbusinesscyclesinassetpricing,academicresearchhaslargelyfailedto?ndconsistentevidencethatoili
6、sanimportantdeterminantofcross-sectionalassetprices.1Thispaperintroducesanewmodelandmethodtoestimatelatentoilriskfactorsusing?EthanChiangandKeenerHughenarefromtheBelkCollegeofBusiness,UniversityofNorthCarolinaatCharlotte.JacobSagiisfromtheKenan-FlaglerBu
7、sinessSchool,UniversityofNorthCarolinaatChapelHill.WearegratefultoseminarparticipantsatHECParis,theUniversityofColorado,theUniversityofFlorida,theUniversityofMaryland,andthe25thAnnualConferenceoftheFinancialMarketsResearchCenteratVanderbiltUniversityfort
8、heirusefulcomments.Weparticularlybene?tedfromcommentsbyGurdipBakshi,BernardDumas,PeteKyle,ChrisLeach,AndyNaranjo,SugataRay,GeorgiosSkoulakis,ZijunWang,theeditor(CamHarvey)andanonymousreferees.JunChenprovidedexcellentresear
