Davide Accomazzo

Pepperdine University - Graziadio School of Business

Adjunct Professor of Finance

24255 Pacific Coast Highway

Malibu, CA 90263

United States

http://www.pepperdine.edu

SCHOLARLY PAPERS

1

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CITATIONS

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Scholarly Papers (1)

1.

Term Structure and Roll Yield: Not Your Father’s Backwardation

Number of pages: 39 Posted: 17 May 2010 Last Revised: 15 Jun 2010
Michael Mack Frankfurter and Davide Accomazzo
IQ3 Solutions Group and Pepperdine University - Graziadio School of Business
Downloads 627 (27,140)

Abstract:

Arbitrage, Backwardation, Contango, Convenience Yield, Equilibrium, Futures Price Curve, Hedging Pressure, Rational Expectations, Roll Yield, Reflexivity, Term Structure, Theory of Storage

Other Papers (1)

Total Downloads: 2,262    Citations: 0
1.

Is Managed Futures an Asset Class? The Search for the Beta of Commodity Futures

Number of pages: 55 Posted: 16 Nov 2007 Last Revised: 17 May 2010
Michael Mack Frankfurter and Davide Accomazzo
IQ3 Solutions Group and Pepperdine University - Graziadio School of Business
Downloads 2,234

Abstract:

Futures Market, Commodities, Managed Futures, Backwardation, Contango, Risk Premia, Futures Price Curve, Roll Return, Convenience Yield, Capital Asset Pricing Model (CAPM), Alpha, Beta, Arbitrage Pricing Theory, Hedging Pressure Hypothesis, Rational Expectations, Equilibrium