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Zeno Adams
Title
Dr.
Last Name
Adams
First name
Zeno
Email
zeno.adams@unisg.ch
Phone
+41 71 224 70 14
Skype
zeno.adams
Now showing
1 - 10 of 10
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PublicationHave Commodities Become a Financial Asset? Evidence from Ten Years of FinancializationThe financialization of commodity markets over the last decade has changed the behavior of commodity prices in fundamental ways. In this paper, we uncover the gradual transformation of commodities from a physical to a financial asset. Although economic demand and supply factors continue to play an important role, recent indicators associated with financialization have emerged since 2008. We show that financial variables have become the main driving factors explaining the variation in commodity returns and volatility today. Our findings have important implications for portfolio analysis and for the effectiveness of hedging in commodity markets.Type: journal articleJournal: Energy EconomicsVolume: Volume 89, June 2020, 104769Issue: 89
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PublicationAre Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in FinanceMultivariate GARCH models have been designed as an extension of their univariate counterparts. Such a view is appealing from a modeling perspective but imposes correlation dynamics that are similar to time-varying volatility. In this paper, we argue that correlations are quite different in nature. We demonstrate that the highly unstable and erratic behavior that is typically observed for the correlation among financial assets is to a large extent a statistical artefact. We provide evidence that spurious correlation dynamics occur in response to financial events that are sufficiently large to cause a structural break in the time-series of correlations. A measure for the autocovariance structure of conditional correlations allows us to formally demonstrate that the volatility and the persistence of daily correlations are not primarily driven by financial news but by the level of the underlying true correlation. Our results indicate that a rolling-window sample correlation is often a better choice for empirical applications in finance.Type: journal articleJournal: Journal of banking and financeVolume: 84
Scopus© Citations 28 -
PublicationThe Sources of Risk Spillovers Among U.S. REITs : Financial Characteristics and Regional ProximityIn this paper, we estimate the risk spillovers among 74 U.S. REITs using the statedependent sensitivity value-at-risk (SDSVaR) approach. This methodology allows for the quantification of the spillover size as a function of a company's financial condition (tranquil, normal, and volatile REIT prices). We show that the size of risk spillovers is more than twice as large when REITs are in financial distress and find evidence for the impact of geographical proximity: REITs that have their properties located in close distance to the properties of other REITs show risk spillovers that are on average 33% higher than REITs that have similar properties but at a larger distance. We estimate the risk gradient to decrease nonlinearly and to have zero slope for property distances of more than 250 miles. Our empirical findings provide first empirical evidence on the transmission of risk spillovers from underlying real positions to the securitized level of a company. Specifically, our results provide new insights concerning the relevance of geographical diversification for REITs and have important implications for the investment and risk management decisions of real estate investors, mortgage lenders, home suppliers, and policy makers.Type: journal articleJournal: Real Estate EconomicsVolume: 43Issue: 1
Scopus© Citations 29 -
PublicationImmigration, Real Estate Prices and the Consumption Decision of Native Households( 2016)
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PublicationRecovering from Shocks: Term Structure Signalling in Commodity Markets *( 2023-09-20)
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PublicationSystemic Risk of Commodity Traders( 2023-08-24)
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PublicationMeasuring Financial Investor Presence Through Term Structure DeflectionWe estimate the presence of financial investors in commodity futures markets from deflections in the term structure. We argue that large-scale inflows from financial investors cause systematic deviations in nearby futures contracts that reflect excessive buying pressure in commodities. We compare this new speculation indicator to popular existing measures including reported CFTC data and the Hamilton and Wu (2014) risk premium. We find substantial financial investor presence in commodity markets from 2004 to 2014. We show that our new speculation measure is better at explaining the variation in crude oil volatility than other existing measures.Type: working paperVolume: 2021/08Issue: 08
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PublicationType: working paperVolume: 2018Issue: 2018/09
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PublicationType: working paperVolume: 2016/15Issue: 15
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PublicationFinancialization in Commodity Markets: A Passing Trend or the New Normal?In this paper, we show that large inflows into commodity investments, a recent phenomenon known as financialization, has changed the behavior and dependence structure between commodities and the general stock market. The common perception is that the increase in comovements is the result of distressed investors selling both assets during the 2007-2009 financial crisis. We show that financial distress alone cannot explain the size and persistence of comovements. Instead, we argue that commodities have become an investment style for institutional investors. Given that institutional investors continue to target funds into commodities, we predict spillovers between commodities and the stock market to remain high in the future.