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Residual Risk Trading Costs And Commodity Futures Risk Premia
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Book Synopsis Residual Risk, Trading Costs and Commodity Futures Risk Premia by : David A. Hirshleifer
Download or read book Residual Risk, Trading Costs and Commodity Futures Risk Premia written by David A. Hirshleifer and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Trading costs, in the form either of explicit charges or of the costs of becoming informed, limit the participation of some classes of traders in commodity futures markets. When speculators face a fixed cost of participating in a futures market that is used by commodity producers to hedge their stochastic revenues, the futures risk premium deviates from the perfect markets prediction. The deviation rises in absolute value with the square root of the trading cost and with the standard deviation of residual returns, and it is unrelated to the covariance of the futures price with producers' nonmarketable wealths. The residual-risk premium depends not on the total magnitude of the risk that producers hedge (i.e., aggregate revenue variance), but on the variability of their revenue relative to its mean (i.e., the coefficient of variation). Hence, even a commodity that constitutes a minor fraction of aggregate consumption may have a large premium for residual risk if the revenue derived from it has a large coefficient of variation.
Book Synopsis Risk Premia and Price Volatility in Futures Markets by : G. S. Maddala
Download or read book Risk Premia and Price Volatility in Futures Markets written by G. S. Maddala and published by . This book was released on 1990 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Time Varying Risk Premia in Futures Markets by : Mr.Manmohan S. Kumar
Download or read book Time Varying Risk Premia in Futures Markets written by Mr.Manmohan S. Kumar and published by International Monetary Fund. This book was released on 1990-12-01 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper undertakes an econometric investigation into the presence of risk premium in commodity futures markets. The statistical tests are derived from a formal model of asset pricing and are applied to futures prices in a variety of commodity markets. The results suggest that for several commodities there is evidence of a time varying risk premium, particularly in futures contracts maturing six months ahead. The implications of the study for the efficiency of the futures markets and the costs of using these markets for hedging are also noted.
Book Synopsis Determinants of Hedging and Risk Premia in Commodity Futures Markets by : David A. Hirshleifer
Download or read book Determinants of Hedging and Risk Premia in Commodity Futures Markets written by David A. Hirshleifer and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the determinants of commodity futures hedging and of risk premia arising from covariation of the futures price with stock market returns, and with the revenues of producers. Owing to supply shocks that stochastically redistribute real wealth (surplus) between producers and consumers, and to limited participation in the futures market, the total risk premium in the model is not proportional to the contract's covariance with aggregate consumption. Stock market variability interacts with the incentive to hedge, causing the producer hedging component of the risk premium to increase (decrease) with income elasticity, for a normal (inferior) good. Production costs that depend on output raise the premium. We argue that output and demand shocks will typically be positively correlated, raising the premium. High supply elasticity reduces the absolute hedging premium by reducing the variability of spot price and revenue.
Book Synopsis The Commodity Futures Risk Premium by : Nemanja [Verfasser] Bacinac
Download or read book The Commodity Futures Risk Premium written by Nemanja [Verfasser] Bacinac and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodity futures, as derived instruments from the larger commodity asset class, are playing a very important role in todays globalised economy, with their main task - insuring companies future values of their inputs and/or outputs. From mid-2000s investments in various commodity futures have grown significantly, along with the inherent commodity prices. A great deal of individuals as well as institutional investors have embraced this type of alternative investment instruments for their presupposed equity-like returns, risk premiums, diversification and positive inflation correlation benefits. A commodity futures investor can consistently earn his risk premium in this specific market only if the commodity futures prices are on average determined at a lower level than the expected future spot prices of underlying commodities. Models presented in this paper are in favour of the view that commodity futures investors can be, depending on a time-frame, looking forward to positive risk premiums in commodity futures markets.*****Commodity futures, as derived instruments from the larger commodity asset class, are playing a very important role in todays globalised economy, with their main task - insuring companies future values of their inputs and/or outputs. From mid-2000s investments in various commodity futures have grown significantly, along with the inherent commodity prices. A great deal of individuals as well as institutional investors have embraced this type of alternative investment instruments for their presupposed equity-like returns, risk premiums, diversification and positive inflation correlation benefits. A commodity futures investor can consistently earn his risk premium in this specific market only if the commodity futures prices are on average determined at a lower level than the expected future spot prices of underlying commodities. Models presented in this paper are in favour of the view that commodity futures investors can be, depending on a time-frame, looking forward to positive risk premiums in commodity futures markets.
Book Synopsis Risk Premia in Futures and Asset Markets by : Hendrik Bessembinder
Download or read book Risk Premia in Futures and Asset Markets written by Hendrik Bessembinder and published by . This book was released on 1989 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Time Varying Risk Premia in Futures Markets by : Graciela Kaminsky
Download or read book Time Varying Risk Premia in Futures Markets written by Graciela Kaminsky and published by . This book was released on 2006 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper undertakes an econometric investigation into the presence of risk premium in commodity futures markets. The statistical tests are derived from a formal model of asset pricing and are applied to futures prices in a variety of commodity markets. The results suggest that for several commodities there is evidence of a time varying risk premium, particularly in futures contracts maturing six months ahead. The implications of the study for the efficiency of the futures markets and the costs of using these markets for hedging are also noted.
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.
Book Synopsis Economic Forces and Commodity Futures Prices by : Warren Bernard Bailey
Download or read book Economic Forces and Commodity Futures Prices written by Warren Bernard Bailey and published by . This book was released on 1991 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Risk Premia and Seasonality in Commodity Futures by : Constantino Hevia
Download or read book Risk Premia and Seasonality in Commodity Futures written by Constantino Hevia and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Financialization of the Term Structure of Risk Premia in Commodity Markets by : Edouard Jaeck
Download or read book The Financialization of the Term Structure of Risk Premia in Commodity Markets written by Edouard Jaeck and published by . This book was released on 2017 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, I examine how financialization affects the term structure of risk premia by using an equilibrium model for commodity futures markets. I define financialization as the entry of cross-asset investors, who are exposed to a commodity risk, into a commodity market. Qualitatively, the model shows that the financialization decreases the segmentation between commodity markets and the stock market. It also shows that speculators and investors both provide and consume liquidity and that the investment pressure from investors creates new risk premia. Further the model shows that financialization affects the entire term structure of risk premia. Quantitatively, these effects depend on the physical characteristics of the commodity market under study.
Book Synopsis Risk Premia in Futures Markets by : Jisoo Yoo
Download or read book Risk Premia in Futures Markets written by Jisoo Yoo and published by . This book was released on 1989 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Information and Risk Premiums in a Futures Market by : Catherine-Marguerite Tabory Shalen
Download or read book Information and Risk Premiums in a Futures Market written by Catherine-Marguerite Tabory Shalen and published by . This book was released on 1987 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Futures Trading, Risk Reduction and Price Stabilization by : David M. G. Newbery
Download or read book Futures Trading, Risk Reduction and Price Stabilization written by David M. G. Newbery and published by . This book was released on 1982 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Forecasting and the Price of Risk in Commodity and Bond Markets by : Irina Yurieva Zhecheva
Download or read book Forecasting and the Price of Risk in Commodity and Bond Markets written by Irina Yurieva Zhecheva and published by . This book was released on 2017 with total page 149 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the first two chapters of my dissertation, I study the pricing of risk in commodities futures and bond markets. In the first chapter, I provide a new way to characterize risk in commodities futures markets. I apply my framework to the natural gas futures market and study the consequences of changes in regime on the risk premium. In the second chapter, I study risk pricing in bond yields and investigate whether regime shifts are important for our understanding of bond risk premia and the term structure. I produce novel empirical estimates to characterize risk premia and the term structure of bond yields and natural gas futures contracts. I also propose a new method for estimating Gaussian affine term structure models subject to regime switching, which solves the serious numerical difficulties encountered by other methods in the literature. The third chapter of my dissertation investigates whether forecast aggregation helps in forecasting commodity prices.
Book Synopsis Three Empirical Studies of Risk Premia in Commodity Futures by : Peter Albert Abken
Download or read book Three Empirical Studies of Risk Premia in Commodity Futures written by Peter Albert Abken and published by . This book was released on 1987 with total page 454 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Risk and Return of Active Vs Passive Trading Strategies with Commodity Futures by : Hui Jiang
Download or read book The Risk and Return of Active Vs Passive Trading Strategies with Commodity Futures written by Hui Jiang and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
