An Anatomy Of Commodity Futures Risk Premia

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An Anatomy of Commodity Futures Risk Premia

Author : Marta Szymanowska
Publisher :
ISBN 13 :
Total Pages : 73 pages
Book Rating : 4.:/5 (129 download)

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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.

Three Empirical Studies of Risk Premia in Commodity Futures

Author : Peter Albert Abken
Publisher :
ISBN 13 :
Total Pages : 454 pages
Book Rating : 4.:/5 (187 download)

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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:

Risk Premia and Price Volatility in Futures Markets

Author : G. S. Maddala
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.0/5 ( download)

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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:

Residual Risk, Trading Costs and Commodity Futures Risk Premia

Author : David A. Hirshleifer
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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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.

Risk Premia and Seasonality in Commodity Futures

Author : Constantino Hevia
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (95 download)

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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:

Capturing the Risk Premium of Commodity Futures

Author : Devraj Basu
Publisher :
ISBN 13 :
Total Pages : 37 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Capturing the Risk Premium of Commodity Futures by : Devraj Basu

Download or read book Capturing the Risk Premium of Commodity Futures written by Devraj Basu and published by . This book was released on 2015 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: We construct long-short factor mimicking portfolios that capture the hedging pressure risk premium of commodity futures. We consider single sorts based on the open interests of either hedgers or speculators, as well as double sorts based on both positions. The long-short hedging pressure portfolios are priced cross-sectionally and offer Sharpe ratios that systematically exceed those of long-only benchmarks. Further tests show that the hedging pressure risk premiums rise with the volatility of commodity futures markets and that the predictive power of hedging pressure over cross-sectional commodity futures returns is different from the previously documented forecasting power of past returns and the slope of the term structure.

Determinants of Hedging and Risk Premia in Commodity Futures Markets

Author : David A. Hirshleifer
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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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.

The Commodity Futures Risk Premium

Author : Nemanja [Verfasser] Bacinac
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (12 download)

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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.

The Fundamentals of Commodity Futures Returns

Author : Gary Gorton
Publisher :
ISBN 13 :
Total Pages : 45 pages
Book Rating : 4.:/5 (165 download)

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Book Synopsis The Fundamentals of Commodity Futures Returns by : Gary Gorton

Download or read book The Fundamentals of Commodity Futures Returns written by Gary Gorton and published by . This book was released on 2007 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodity futures risk premiums vary across commodities and over time depending on the level of physical inventories, as predicted by the Theory of Storage. Using a comprehensive dataset on 31 commodity futures and physical inventories between 1969 and 2006, we show that the convenience yield is a decreasing, non-linear relationship of inventories. Price measures, such as the futures basis, prior futures returns, and spot returns reflect the state of inventories and are informative about commodity futures risk premiums. The excess returns to Spot and Futures Momentum and Backwardation strategies stem in part from the selection of commodities when inventories are low. Positions of futures markets participants are correlated with prices and inventory signals, but we reject the Keynesian "hedging pressure" hypothesis that these positions are an important determinant of risk premiums.

The Fundamentals of Commodity Futures Returns

Author : Gary B. Gorton
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis The Fundamentals of Commodity Futures Returns by : Gary B. Gorton

Download or read book The Fundamentals of Commodity Futures Returns written by Gary B. Gorton and published by . This book was released on 2012 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodity futures risk premiums vary across commodities and over time depending on the level of physical inventories. The convenience yield is a decreasing, non-linear function of inventories. Price measures, such as the futures basis, prior futures returns, prior spot returns, and spot price volatilities reflect the state of inventories and are informative about commodity futures risk premiums. We verify these theoretical predictions using a comprehensive dataset on 31 commodity futures and physical inventories between 1971 and 2010. While the positions of participants in futures markets vary with both returns and the state of inventories, we find no evidence that they predict risk premiums on commodity futures.

The Financialization of the Term Structure of Risk Premia in Commodity Markets

Author : Edouard Jaeck
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (13 download)

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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.

The World Scientific Handbook of Futures Markets

Author : Anastasios G. E. T. Al MALLIARIS
Publisher : World Scientific
ISBN 13 : 9814566926
Total Pages : 844 pages
Book Rating : 4.8/5 (145 download)

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Book Synopsis The World Scientific Handbook of Futures Markets by : Anastasios G. E. T. Al MALLIARIS

Download or read book The World Scientific Handbook of Futures Markets written by Anastasios G. E. T. Al MALLIARIS and published by World Scientific. This book was released on 2015-08-06 with total page 844 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The World Scientific Handbook of Futures Markets serves as a definitive source for comprehensive and accessible information in futures markets. The emphasis is on the unique characteristics of futures markets that make them worthy of a special volume. In our judgment, futures markets are currently undergoing remarkable changes as trading is shifting from open outcry to electronic and as the traditional functions of hedging and speculation are extended to include futures as an alternative investment vehicle in traditional portfolios. The unique feature of this volume is the selection of five classic papers that lay the foundations of the futures markets and the invitation to the leading academics who do work in the area to write critical surveys in a dozen important topics."--$cProvided by publisher.

Commodities

Author : M. A. H. Dempster
Publisher : CRC Press
ISBN 13 : 1000784045
Total Pages : 864 pages
Book Rating : 4.0/5 (7 download)

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Book Synopsis Commodities by : M. A. H. Dempster

Download or read book Commodities written by M. A. H. Dempster and published by CRC Press. This book was released on 2022-12-09 with total page 864 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development. Commodities: Fundamental Theory of Futures, Forwards, and Derivatives Pricing, Second Edition covers the fundamental theory of and derivatives pricing for major commodity markets, as well as the interaction between commodity prices, the real economy, and other financial markets. After a thoroughly updated and extensive theoretical and practical introduction, this new edition of the book is divided into five parts – the fifth of which is entirely new material covering cutting-edge developments. Oil Products considers the structural changes in the demand and supply for hedging services that are increasingly determining the price of oil Other Commodities examines markets related to agricultural commodities, including natural gas, wine, soybeans, corn, gold, silver, copper, and other metals Commodity Prices and Financial Markets investigates the contemporary aspects of the financialization of commodities, including stocks, bonds, futures, currency markets, index products, and exchange traded funds Electricity Markets supplies an overview of the current and future modelling of electricity markets Contemporary Topics discuss rough volatility, order book trading, cryptocurrencies, text mining for price dynamics and flash crashes

Anatomy of the Crude Oil Pricing System

Author : Bassam Fattouh
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis Anatomy of the Crude Oil Pricing System by : Bassam Fattouh

Download or read book Anatomy of the Crude Oil Pricing System written by Bassam Fattouh and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Your Essential Guide to Quantitative Hedge Fund Investing

Author : Marat Molyboga
Publisher : CRC Press
ISBN 13 : 100090461X
Total Pages : 317 pages
Book Rating : 4.0/5 (9 download)

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Book Synopsis Your Essential Guide to Quantitative Hedge Fund Investing by : Marat Molyboga

Download or read book Your Essential Guide to Quantitative Hedge Fund Investing written by Marat Molyboga and published by CRC Press. This book was released on 2023-07-18 with total page 317 pages. Available in PDF, EPUB and Kindle. Book excerpt: Your Essential Guide to Quantitative Hedge Fund Investing provides a conceptual framework for understanding effective hedge fund investment strategies. The book offers a mathematically rigorous exploration of different topics, framed in an easy to digest set of examples and analogies, including stories from some legendary hedge fund investors. Readers will be guided from the historical to the cutting edge, while building a framework of understanding that encompasses it all. Features Filled with novel examples and analogies from within and beyond the world of finance Suitable for practitioners and graduate-level students with a passion for understanding the complexities that lie behind the raw mechanics of quantitative hedge fund investment A unique insight from an author with experience of both the practical and academic spheres.

Virtual Barrels

Author : Ilia Bouchouev
Publisher : Springer Nature
ISBN 13 : 3031361512
Total Pages : 345 pages
Book Rating : 4.0/5 (313 download)

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Book Synopsis Virtual Barrels by : Ilia Bouchouev

Download or read book Virtual Barrels written by Ilia Bouchouev and published by Springer Nature. This book was released on 2024-01-05 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global oil market is no longer solely influenced by the supply and demand of physical oil barrels. In today's landscape, financial barrels traded by hedge funds using quantitative algorithms and dealers managing large portfolios of oil derivatives are equally crucial in determining the price of oil. This book offers a fascinating insight into the world of oil derivatives, exploring the quantitative models and trading strategies used by professional market participants. With a focus on oil options and volatility trading, the reader is taken on a journey through the story of this market, narrated by one of its pioneers who managed a highly successful trading business for almost a quarter of a century. Bridging the fields of energy economics and mathematical finance, this book demonstrates how the science of trading can unearth unique opportunities in the oil market. Written for aspiring quantitative traders and academic researchers alike, it offers a rare glimpse into the opaque and secretive world of oil derivatives, showcasing how it operates in practice.

Price-Based Investment Strategies

Author : Adam Zaremba
Publisher : Springer
ISBN 13 : 3319915304
Total Pages : 325 pages
Book Rating : 4.3/5 (199 download)

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Book Synopsis Price-Based Investment Strategies by : Adam Zaremba

Download or read book Price-Based Investment Strategies written by Adam Zaremba and published by Springer. This book was released on 2018-07-25 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: This compelling book examines the price-based revolution in investing, showing how research over recent decades has reinvented technical analysis. The authors discuss the major groups of price-based strategies, considering their theoretical motivation, individual and combined implementation, and back-tested results when applied to investment across country stock markets. Containing a comprehensive sample of performance data, taken from 24 major developed markets around the world and ranging over the last 25 years, the authors construct practical portfolios and display their performance—ensuring the book is not only academically rigorous, but practically applicable too. This is a highly useful volume that will be of relevance to researchers and students working in the field of price-based investing, as well as individual investors, fund pickers, market analysts, fund managers, pension fund consultants, hedge fund portfolio managers, endowment chief investment officers, futures traders, and family office investors.