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Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure
Abstract
We use the term structure of futures prices to test whether investors anticipate mean reversion in spot asset prices. The empirical results indicate mean reversion in each market we examine. For agricultural commodities and crude oil the magnitude of the estimated mean reversion is large; for example, point estimates indicate that 44 percent of a typical spot oil price shock is expected to be reversed over the subsequent eight months. For metals, the degree of mean reversion is substantially less, but still statistically significant. We detect only weak evidence of mean reversion in financial asset prices.
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Cited by
The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging
SCHWARTZ, E. S. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb02721.x · Cited by 2,113
Carbon futures and macroeconomic risk factors: A view from the EU ETS
Chevallier, J. (2009) · Energy Economics · doi:10.1016/j.eneco.2009.02.008 · Cited by 406
An overview of global gold market and gold price forecasting
Shafiee, S., & Topal, E. (2010) · Resources Policy · doi:10.1016/j.resourpol.2010.05.004 · Cited by 371
Limits to Arbitrage and Commodity Index Investment: Front-Running the Goldman Roll
Mou, Y. (2010) · doi:10.2139/ssrn.1716841 · Cited by 98
No-arbitrage conditions for storable commodities and the modeling of futures term structures
Liu, P. (., & Tang, K. (2010) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2010.03.013 · Cited by 28
Metadata
- Authors
- BESSEMBINDER, H., COUGHENOUR, J. F., SEGUIN, P. J., & SMOLLER, M. M.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1995-03
- Volume
- 50
- Issue
- 1
- Pages
- 361-375
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W1972180129
- Cited by
- 399
- References
- 0
- FWCI
- 14.61
- Type
- journal article
- Language
- en
- Open access
- closed
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- BESSEMBINDER, H., COUGHENOUR, J. F., SEGUIN, P. J., & SMOLLER, M. M. (1995). Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1995.tb05178.x
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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