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Metals : resources or financial assets? A multivariate cross-sectional analysis

Titelangaben

Lutzenberger, Fabian ; Gleich, Benedikt ; Mayer, Herbert G. ; Stepanek, Christian ; Rathgeber, Andreas W.:
Metals : resources or financial assets? A multivariate cross-sectional analysis.
In: Empirical Economics. Bd. 53 (November 2017) Heft 3 . - S. 927-958.
ISSN 1435-8921
DOI: https://doi.org/10.1007/s00181-016-1162-9

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Abstract

Metals are very important resources for industrial production, but recently they have attracted more and more attention from investors. While certainly industrial producers, consumers, and financial investors do have some influence on metal price development, the role of relevant price factors is not yet quite clear. Therefore, in this paper, we examine the explanatory power of various fundamental factors and characteristics known from financial markets, specifically on the expected returns in a unique data sample of 30 metals. We apply—to our knowledge for the first time in this context—the widely accepted method of characteristic-sorted portfolios, extended by the very recent method of two-way portfolio sorts as an alternative to classical multivariate regressions. This mostly nonparametric approach, combined with portfolio aggregation, provides very robust results. Our major finding is that the financial characteristics value and momentum have a very high predictive power for monthly returns of metal portfolios. Metal-specific fundamental factors like stocks, secondary production, apparent consumption, country concentration, mine production, or reserves perform depending on the interpretation moderately well or rather poorly, regarding some economically interpretable transformations and when using multivariate twoway sorts. Hence, from the perspective of expected returns, metals are predominantly assets, while fundamental metal-specific factors still play a non-negligible role. Thus, to a much lesser extent, metals can still be regarded as resources. Overall, the combination of financial characteristics and metal-specific fundamental factors yields the best results. With these robust results, we hope to contribute to a better understanding of metal prices and their underlying factors.

Weitere Angaben

Publikationsform: Artikel in einer Zeitschrift
Begutachteter Beitrag: Ja
Keywords: Metals; Value; Momentum; Fundamentals; Cross-sectional analysis; Nonparametric
Institutionen der Universität: Fakultäten > Rechts- und Wirtschaftswissenschaftliche Fakultät > Fachgruppe Betriebswirtschaftslehre
Forschungseinrichtungen
Forschungseinrichtungen > Institute in Verbindung mit der Universität
Forschungseinrichtungen > Institute in Verbindung mit der Universität > FIM Kernkompetenzzentrum Finanz- & Informationsmanagement
Fakultäten
Fakultäten > Rechts- und Wirtschaftswissenschaftliche Fakultät
Titel an der UBT entstanden: Ja
Themengebiete aus DDC: 000 Informatik,Informationswissenschaft, allgemeine Werke > 004 Informatik
300 Sozialwissenschaften > 330 Wirtschaft
Eingestellt am: 23 Mai 2018 09:51
Letzte Änderung: 23 Mai 2018 09:51
URI: https://eref.uni-bayreuth.de/id/eprint/44348