haku: @author Frecka, T. J. / yhteensä: 7
viite: 2 / 7
| Tekijä: | Bernard, V. L. Frecka, T. J. |
| Otsikko: | Commodity contracts and common stocks as hedges against relative consumer price risk. |
| Lehti: | Journal of Financial and Quantitative Analysis
1987 : JUN, VOL. 22:2, p. 169-188 |
| Asiasana: | HEDGING |
| Kieli: | eng |
| Tiivistelmä: | We present evidence suggesting that investors could have identified, ex ante, portfolios that hedge against the uncertainty in the prices of three large categories of consumption: food, housing and transportation. Our finding has practical implications for the importance of multi-period capital asset pricing theories that assume investors can identify such hedge portfolios. The paper also provides surprising evidence about the usefulness of common stock and commodity futures contracts in hedging against inflation. |
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