Economics at your fingertips  

Fear of Hazards in Commodity Futures Markets

Adrian Fernandez-Perez, Ana-Maria Fuertes, Marcos Gonzalez-Fernandez and Joelle Miffre ()
Additional contact information
Adrian Fernandez-Perez: AUT - Auckland University of Technology
Joelle Miffre: Audencia Business School

Post-Print from HAL

Abstract: We examine the commodity futures pricing role of active attention to weather, disease, geopolitical or economic threats or "hazard fear" as proxied by the volume of internet searches by 149 query terms. A long-short portfolio strategy that sorts the cross-section of commodity futures contracts according to a hazard fear signal captures a significant premium. This commodity hazard fear premium reflects compensation for extant fundamental, tail, volatility and liquidity risks factors, but it is not subsumed by them. Exposure to hazard-fear is strongly priced in the cross-section of commodity portfolios. The hazard fear premium exacerbates during periods of adverse sentiment or pessimism in financial markets.

Keywords: Commodity futures; Fear; Attention; Hazards; Internet searches; Sentiment; Long-short portfolios (search for similar items in EconPapers)
Date: 2020-10-15
Note: View the original document on HAL open archive server:
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Published in Journal of Banking and Finance, 2020

Downloads: (external link) (application/pdf)

Related works:
Journal Article: Fear of hazards in commodity futures markets (2020) Downloads
Working Paper: Fear of Hazards in Commodity Futures Markets (2020) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().

Page updated 2024-06-08
Handle: RePEc:hal:journl:hal-02931680