Author : Marta Szymanowska
Publisher :
ISBN 13 :
Total Pages : 73 pages
Book Rating : 4.:/5 (129 download)
Book Synopsis An Anatomy of Commodity Futures Risk Premia by : Marta Szymanowska
Download or read book An Anatomy of Commodity Futures Risk Premia written by Marta Szymanowska and published by . This book was released on 2014 with total page 73 pages. Available in PDF, EPUB and Kindle. Book excerpt: We identify two types of risk premia in commodity futures returns: spot premia related to the risk in the underlying commodity, and term premia related to changes in the basis. Sorting on forecasting variables such as the futures basis, return momentum, volatility, inflation, hedging pressure, and liquidity, results in sizable spot premia in the high-minus-low sorted portfolios between 5% and 14% per annum and term premia between 1% and 3% per annum. We show that a single factor, the high-minus-low portfolio from basis sorts, explains the cross-section of spot premia. Two additional basis factors are needed to explain the term premia.