Interest Rates on Monetary Assets and Commodity Price Index Changes

Roll, Richard

doi:10.1111/j.1540-6261.1972.tb00958.x

Cited by 57 publications

(4 citation statements)

References 17 publications

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“…This approach is germane to portfolio theory and originates from balance‐of‐payments analysis, especially since the latter took a very strong monetary orientation in the sixties under the influence of Mundell [145], and since the advent of the “portfolio‐balance” approach: Branson [28]. The link with portfolio theory is, however, not complete since the latter is only today in the process of introducing money holdings into the portfolios of individual investors (for an early attempt, see Roll [159], Kouri [108], and more recently Fama and Farber [58], Hodrick [90], Poncet [151], and Dumas [49]). The device most commonly employed is the injection of real money balances as a separate argument of the utility functions.…”

mentioning

confidence: 99%

International Portfolio Choice and Corporation Finance: A Synthesis

Adler¹,

Dumas²

1983

The Journal of Finance

952

275

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mentioning

confidence: 99%

International Portfolio Choice and Corporation Finance: A Synthesis

Adler¹,

Dumas²

1983

The Journal of Finance

952

275

View full text Add to dashboard Cite

“…In this paper, I consider two alternative models of expected inflation. The first is a hybrid of the Kothari and Shanken (2004) model and an autoregressive model analyzed by Roll (1972), where I continue to apply the Fama (1975) model for one‐month forecasts. The hybrid model replaces the term for inflation over the most recent year with inflation over the most recent one, two and three years, each lagged by one month from the current date.…”

Section: Methodsmentioning

confidence: 99%

Is a pure TIPS strategy truly risk free?

Haensly

2015

Rev Financ Econ

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A Treasury Inflation‐Protected Security (TIPS) is virtually risk free. As an obligation of the U.S. Treasury, it is mostly free of default risk. As an inflation‐indexed security held to maturity, it is risk free in terms of purchasing power. However, investing in a TIPS‐only portfolio for retirement is not risk free. This paper presents the results of a simulation analysis designed to evaluate the performance of a portfolio of inflation‐indexed Treasury coupon bonds. This study demonstrates that significant shortfall risk exists for TIPS‐only portfolios across a range of savings plans and the securities selection rules.

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“…Commodity EMH Result Roll (1972) [38] Commodity price index Inefficient Danthine (1977) [39] Commodity price index Disputes inefficiency Gjoberg (1985) [40] Oil spot prices Inefficient Panas (1991) [41] Oil spot prices Inefficient Herbert and Kreil (1996) [42] Natural gas spot and future Inefficient Tabak and Cajueiro (2007) [43] Brent and WTI crude oil Becoming more efficient over time Alvarez-Ramirez et al (2010) [44] Crude oil Inefficient Wang and Liu (2010) [45] WTI crude oil Becomes more efficient over time Wang et al (2011) [46] WTI [57] Daily WTI prices Efficient…”

Section: Referencementioning

confidence: 99%

Testing the Efficiency of Electricity Markets Using a New Composite Measure Based on Nonlinear TS Tools

et al. 2019

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In this paper we examine and compare the efficiency of four European electricity markets (NordPool, Italian, Spanish and Greek) of different microstructure and level of maturity, by testing the weak form of the Efficient Market Hypothesis (EMH). To quantify the level of efficiency deviation of each market from the ‘ideal’ or ‘benchmark market of random walk’, we have constructed a Composite Electricity Market Efficiency Index (EMEI), inspired by similar works on other energy commodities. The proposed index consists of linear and nonlinear components each one measuring a different feature or dimension of the market efficiency such as its complexity, fractality, entropy, long-term memory or correlation, all connected to the associated benchmark values of the Random Walk Process (RWP). The key findings are that overall, all examined electricity markets are inefficient in respect to the weak form of EMH and the less inefficient market, as measured by the EMEI is the NordPool, closely followed by the Spanish market, with the Italian being the third. The most inefficient market is the Greek one. These results are in accordance with the predominant view about the maturity of these markets. This study contributes significantly on improving the research framework in developing consistent and robust tools for efficiency measurement, while the proposed index can be a valuable tool in designing improved guidelines towards enhancing the efficiency of electricity markets.

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Interest Rates on Monetary Assets and Commodity Price Index Changes

Cited by 57 publications

References 17 publications

International Portfolio Choice and Corporation Finance: A Synthesis

International Portfolio Choice and Corporation Finance: A Synthesis

Is a pure TIPS strategy truly risk free?

Testing the Efficiency of Electricity Markets Using a New Composite Measure Based on Nonlinear TS Tools

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