The present value model of rational commodity pricing
Article Abstract:
Research into the limits of the present value model for rational commodity pricing attempts to explain the pricing of storable commodities. The value model is useful in comprehending commodity price movements and helpful in testing the rationality of commodity pricing. Pricing for gold, copper, lumber and oil are tested. Results for three of four commodities uphold notion that prices temporarily drift away from fundamentals. Heating oil prices conform most closely with present value model possibly because cost is too high for speculation.
Publication Name: Economic Journal
Subject: Economics
ISSN: 0013-0133
Year: 1993
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Rethinking deviations from uncovered interest parity: the role of covariance risk and noise
Article Abstract:
A study was conducted to analyze the ability of the standard intertemporal asset pricing framework and the noise trading model to explain why the forward foreign exchange premium predicts future currency depreciation with the wrong sign. Results indicated that the pricing model supported an appealing theory of the forward foreign exchange risk premium. However, the model did not support the generation of sufficiently volatile returns.
Publication Name: Economic Journal
Subject: Economics
ISSN: 0013-0133
Year: 1998
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A markup interpretation of optimal investment rules
Article Abstract:
Deciding when and how to obtain a stochastically fluctuating benefit has become a basic investment problem. A re-examination of the problem shows that the trade-off between larger and later net benefits satisfied by the optimal investment rule is a flexible markup formula. This is viewed by economists as a better formula than the standard approach to investment problems because the firm's option is respected.
Publication Name: Economic Journal
Subject: Economics
ISSN: 0013-0133
Year: 1999
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