| ID | 66121 |
| 著者 |
Nakagawa, Kei
Nomura Asset Management Co. Ltd
Sakemoto, Ryuta
Okayama University, Keio Economic Observatory, Keio University
ORCID
Kaken ID
publons
researchmap
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| 抄録 | This study investigates whether commodity futures factor portfolios work as hedges and safe havens against inflation shocks. We observe that momentum, basis momentum, and a combination of factor portfolios act as strong hedges against core inflation shocks, suggesting that holding the factor portfolios generates not only higher Sharpe ratios but also strong hedge effects against inflation. Moreover, the momentum, basis momentum, and value portfolios have weak safe haven properties against inflation shocks. In addition, our empirical results suggest that hedge effects for commodity future portfolios are stronger during the pre-financialization period.
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| キーワード | Commodity futures
Factor investment
Hedgen
Safe have
Inflation
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| 備考 | © 2023 Elsevier Inc. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/
This fulltext file will be available in Oct. 2025.
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| 発行日 | 2023-12
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| 出版物タイトル |
Finance Research Letters
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| 巻 | 58巻
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| 出版者 | Elsevier BV
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| 開始ページ | 104585
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| ISSN | 1544-6123
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| 資料タイプ |
学術雑誌論文
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| 言語 |
英語
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| OAI-PMH Set |
岡山大学
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| 著作権者 | © 2023 Elsevier Inc.
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| 論文のバージョン | author
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| DOI | |
| Web of Science KeyUT | |
| 関連URL | isVersionOf https://doi.org/10.1016/j.frl.2023.104585
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| ライセンス | https://creativecommons.org/licenses/by-nc-nd/4.0/
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| 助成機関名 |
Japan Society for the Promotion of Science
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| 助成番号 | 22K13430
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