Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

Equipment

Delete all

Properties of risk premia in the commodity market

2018/31/N/HS4/01753

Keywords:

return predictability commodity markets asset pricing factor models market anomalies

Descriptors:

  • HS4_6: Financial markets, international finance, public finance

Panel:

HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies

Host institution :

Uniwersytet Ekonomiczny w Poznaniu, Wydział Zarządzania

woj. wielkopolskie

Other projects carried out by the institution 

Principal investigator (from the host institution):

Mateusz Mikutowski 

Number of co-investigators in the project: 2

Call: PRELUDIUM 16 - announced on 2018-09-14

Amount awarded: 127 285 PLN

Project start date (Y-m-d): 2019-07-12

Project end date (Y-m-d): 2022-07-11

Project duration:: 36 months (the same as in the proposal)

Project status: Project settled

Project description

Download the project description in a pdf file

Note - project descriptions were prepared by the authors of the applications themselves and placed in the system in an unchanged form.

Information in the final report

  • Publication in academic press/journals (3)
  1. Commodity financialisation and price co-movement: Lessons from two centuries of evidence
    Authors:
    Adam Zaremba, Zaghum Umar, Mateusz Mikutowski
    Academic press:
    Finance Research Letters (rok: 2021, tom: 38, strony: 101492), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.frl.2020.101492 - link to the publication
  2. Inflation Hedging in the Long Run: Practical Perspectives from Seven Centuries of Commodity Prices
    Authors:
    Adam Zaremba, Jan J. Szczygielski, Zaghum Umar, Mateusz Mikutowski
    Academic press:
    The Journal of Alternative Investments (rok: 2021, tom: 24(1), strony: 119-134), Wydawca: Pageant Media Ltd
    Status:
    Published
    DOI:
    10.3905/jai.2021.1.136 - link to the publication
  3. Long-run reversal in commodity returns: Insights from seven centuries of evidence
    Authors:
    Adam Zaremba, Robert J. Bianchi, Mateusz Mikutowski
    Academic press:
    Journal of Banking and Finance (rok: 2021, tom: 133, strony: 106238), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.jbankfin.2021.106238 - link to the publication

O Narodowym Centrum Nauki

Finansowanie nauki

Współpraca zagraniczna

Centrum prasowe

Deklaracja dostępności
Przetwarzanie danych osobowych
Polityka cookies

Partnerzy