Never a Dull Moment: Entropy Risk in Commodity Markets

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2023-05-04 DOI:10.1093/rapstu/raad008

Fousseni Chabi-Yo, Hitesh Doshi, Virgilio Zurita

引用次数: 1

Abstract

Abstract We develop a new approach to determine investors’ risk compensations for all distributional moments of a security. Using the concept of entropy, which is a summary of all moments of a risky security, we derive the relationship between expected returns and their compensation for entropy risk. Entropy risk premium (ERP), which is entropy under the physical minus the risk-neutral measure, indicates the hedging cost against changes in risks associated with all moments of the return’s distribution. Applying our model to the commodity markets, we find that ERP carries economically significant information for the cross-section of returns that is different from individual or combined moments. (JEL G12, G13) Received February 5, 2021; editorial decision February 21, 2023 by Editor Zhiguo He. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

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从不沉闷的时刻:商品市场的熵风险

摘要本文提出了一种确定投资者对证券的所有分布时刻的风险补偿的新方法。利用熵的概念，即风险证券的所有时刻的总结，我们导出了期望收益与其熵风险补偿之间的关系。熵风险溢价(ERP)是物理熵减去风险中性度量下的熵，表示与收益分布的所有时刻相关的风险变化的对冲成本。将我们的模型应用于商品市场，我们发现ERP为不同于单个或组合时刻的回报横截面提供了经济上重要的信息。(JEL G12, G13) 2021年2月5日收稿;编辑决定2023年2月21日何志国编辑作者们提供了一份互联网附录，可以在牛津大学出版社的网站上找到，就在最终发表论文的链接旁边。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.