Commodity betas with mean reverting output prices

Journal of Banking and Finance

Volumn 32, Issue 7, 2008, Pages 1286-1296

  Hong, Gwangheon ^a   Sarkar, Sudipto ^b  

^a Sogang University   (South Korea)

^b MCMASTER UNIVERSITY   (Canada)

Author keywords

Commodity beta; Contingent claim model; Mean reversion; Stock price sensitivity

Indexed keywords

EID: 44149107383     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2007.10.009     Document Type: Article

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