Stock Return Predictability and Oil Prices

This paper shows that oil price changes, measured as short-term futures returns, are a strong predictor of excess stock returns at short horizons. Ours is a leading variable for the business cycle and exhibits low persistence which avoids the ctitious long-horizon predictability associated to other predictors used in the literature. We compare our variable with the most popular predictors in a sample period that includes the recent nancial crisis. Our results suggest that oil price changes are the only variable with forecasting power for stock returns. This signi cant predictive ability is robust against the inclusion of other variables and out-of-sample tests. We also study the cross-section of expected stock returns in a conditional CAPM framework based on oil price shocks. Our model displays high statistical signi cance and a better t than all the conditional and unconditional models considered including the Fama French three-factor model. From a practical perspective, ours is a high-frequency, observable variable that has the advantage of being readily available to market-timing investors.Return predictability, business cycle, crude oil, futures prices, asset pricing, conditional CAPM

Consumption and Hedging in Oil Importing Developing Countries

We study the consumption and hedging strategy of an oil-importing developing country that faces multiple crude oil shocks. In our model, developing countries have two particular characteristics: their economies are mainly driven by natural resources and their technologies are less e cient in energy usage. The natural resource exports can be correlated with the crude oil shocks. The country can hedge against the crude oil uncertainty by taking long/short positions in existing crude oil futures contracts. We find that both, ine ciencies in energy usage and shocks to the crude oil price, lower the productivity of capital. This generates a negative income e ect and a positive substitution e ect, because today's consumption is relatively cheaper than tomorrow's consumption. Optimal consumption of the country depends on the magnitudes of these e ects and on its risk-aversion degree. Shocks to other crude oil factors, such as the convenience yield, are also studied. We nd that the persistence of the shocks magni es the income and substitution e ects on consumption, thus a ecting also the hedging strategy of the country. The demand for futures contracts is decomposed in a myopic demand, a pure hedging term and productive hedging demands. These hedging demands arise to hedge against changes in the productivity of capital due to changes in crude oil spot prices. We calibrate the model for Chile and study up to what extent the country's copper exports can be used to hedge the crude oil risk.Crude oil prices, convenience yields, risk management, emerging markets, government policy, two-sector economies

Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology

We model equilibrium spot and futures oil prices in a general equilibrium production economy. In our model production of the consumption good requires two inputs: the consumption good and a commodity, e.g., Oil. Oil is produced by wells whose flow rate is costly to adjust. Investment in new Oil wells is costly and irreversible. As a result in equilibrium, investment in Oil wells is infrequent and lumpy. Even though the state of the economy is fully described by a one-factor Markov process, the spot oil price is not Markov (in itself). Rather it is best described as a regime-switching process, the regime being an investment `proximity' indicator. The resulting equilibrium oil price exhibits mean-reversion and heteroscedasticity. Further, the risk premium for exposure to commodity risk is time-varying, positive in the far-from-investment regime but negative in the near-investment regime. Further, our model captures many of the stylized facts of oil futures prices, such as backwardation and the `Samuelson effect.' The futures curve exhibits backwardation as a result of a convenience yield, which arises endogenously. We estimate our model using the Simulated Method of Moments with economic aggregate data and crude oil futures prices. The model successfully captures the first two moments of the futures curves, the average non-durable consumption-output ratio, the average oil consumption-output and the average real interest rate. The estimation results suggest the presence of convex adjustment costs for the investment in new oil wells. We also propose and test a linear approximation of the equilibrium regime-shifting dynamics implied by our model, and test its empirical implication for time-varying risk-premia.

Maximal Gaussian Affine Models for Multiple Commodities: A Note

This study extends the maximal affine models of single assets to a multi-commodity setup. We show that the correlated version of maximal affine models for a single commodity is no longer maximal for multiple commodities. In the maximal model, the convenience yield of a certain commodity could depend on the prices of other commodities, which is consistent with the structural model in our companion study Casassus, Liu, and Tang [Review of Financial Studies, 26, 1324–1362, 2013]. This cross-commodity relationship is a feedback effect that may generate substantial co-movement among long-run commodity prices, a fact that is consistent with many empirical studies

Economic Linkages, Relative Scarcity, and Commodity Futures Returns

This paper shows that economic linkages among commodities create a source of long-term correlation between futures returns. We extend the Theory of Storage to a multi-commodity level and find that the convenience yield of a commodity depends not only on its own scarcity level, but also on its relative scarcity with respect to other economically-related commodities. This result implies a positive feedback effect from one commodity to another that is necessary to replicate the upward-sloping correlation term structure of futures returns observed from the related commodities. Our empirical Multi-Commodity Feedback Affine model (MCFA) allows for a flexible correlation term structure and validates our theoretical prediction. An out-of-sample test using short-maturity crack spread options data shows that our model considerably reduces the pricing error generated by traditional models

Representações sociais sobre a permanência na docência: o que dizem docentes do ensino fundamental?

Resumo Este estudo objetivou analisar as representações sociais de professores do ensino fundamental de escolas públicas sobre a sua permanência na docência na perspectiva das objetivações e ancoragens que organizam essas representações. A metodologia seguida consistiu na pesquisa de caráter descritivo e analítico com referência na Teoria das Representações Sociais. A amostra envolveu 25 professores dos sexos feminino e masculino que trabalham no ensino fundamental. O instrumento utilizado para a coleta de informações seguiu a técnica Q que consistiu na ordenação de setenta itens pré-elaborados sobre a temática em estudo para serem organizados por ordem de importância de acordo com cada informante. A análise das informações dos professores após registro seguiu os procedimentos da referida técnica, baseado no desvio padrão. Os resultados deste estudo destacam que as representações sociais de professores sobre a permanência na docência se organizam da seguinte forma: os docentes do grupo 1 selecionaram frases com sentidos desmotivadores para a permanência na profissão docente. Enquanto que os motivos que os docentes do grupo 2 elegem frases que expressam elementos motivadores para a permanência na docência. Conclui-se que existem polaridades entre as objetivações e as ancoragens nas representações sociais desses professores. As imagens tecidas sobre a profissão de professor editam uma profissão prazerosa, enquanto que os sentidos atribuídos são desprazerosos e desmotivadores para a permanência na profissão