Bibliographic record
Abstract
This thesis comprises three distinct but interconnected studies in the field of financial markets, each exploring different facets of financial markets: asset pricing, sustainable investment and behavioral finance. The first paper derives stock returns for firms producing non-renewable commodities employing the investment-based asset pricing approach. By identifying the appropriate time-varying discount rate the investment-based approach allows an alternative test of the Hotelling Valuation Principle. The empirical results support the principle and enable predicting returns from sorting firms into quintiles by expected return, producing a 16-20 percent realized difference between top and bottom quintile. The return differences cannot be explained by standard risk factors or a commodity-specific factor, suggesting that an important risk factor is still missing from standard models. The approach permits cost-of-capital estimation that circumvents identifying systematic risk factors. The second paper examines whether the carbon pricing risk factor is priced in the cross-section of commodity futures. Analyzing unexpected pricing shocks in carbon emission allowances, it is shown that carbon pricing risk carries a significant positive risk premium in commodity markets. The study reveals that commodity sensitivities to carbon pricing risk vary, influenced by commodity-specific characteristics such as basis and hedging pressure. Additionally, a portfolio of commodity futures constructed based on carbon pricing beta offers superior out-of-sample hedging performance for climate change risk compared to hedge portfolios constructed from equities or ETFs. The third paper investigates the accuracy of target price forecasts made by sell-side analysts, employing machine learning approaches to predict the forecasts’ accuracy. Using a dataset of target price forecasts for U.S. listed companies from 1999 to 2021, ensemble methods incorporating market-level, firm-level, and analyst-level information are used to predict target price accuracy in terms of errors and achievement. A long-short portfolio constructed based on these predictions significantly outperforms the benchmark in terms of cumulative return and Sharpe ratio.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.002 | 0.012 |
| Meta-epidemiology (narrow) | 0.001 | 0.000 |
| Meta-epidemiology (broad) | 0.001 | 0.001 |
| Bibliometrics | 0.003 | 0.003 |
| Science and technology studies | 0.002 | 0.006 |
| Scholarly communication | 0.006 | 0.008 |
| Open science | 0.001 | 0.002 |
| Research integrity | 0.004 | 0.005 |
| Insufficient payload (model declined to judge) | 0.023 | 0.004 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".