- 1、本文档共38页,可阅读全部内容。
- 2、原创力文档(book118)网站文档一经付费(服务费),不意味着购买了该文档的版权,仅供个人/单位学习、研究之用,不得用于商业用途,未经授权,严禁复制、发行、汇编、翻译或者网络传播等,侵权必究。
- 3、本站所有内容均由合作方或网友上传,本站不对文档的完整性、权威性及其观点立场正确性做任何保证或承诺!文档内容仅供研究参考,付费前请自行鉴别。如您付费,意味着您自己接受本站规则且自行承担风险,本站不退款、不进行额外附加服务;查看《如何避免下载的几个坑》。如果您已付费下载过本站文档,您可以点击 这里二次下载。
- 4、如文档侵犯商业秘密、侵犯著作权、侵犯人身权等,请点击“版权申诉”(推荐),也可以打举报电话:400-050-0827(电话支持时间:9:00-18:30)。
查看更多
Capturing the Risk Premium of Commodity
Futures: The Role of Hedging Pressure
Devraj Basu* and Joëlle Miffre**
________________
* Devraj Basu, Professor of Finance, SKEMA Business School, 60 Rue Dostoïevski, Sophia
Antipolis 06902, France. Tel: +33 (0)4 93 95 44 81, Email : devraj.basu@
** Joëlle Miffre, Professor of Finance and corresponding author, EDHEC Business School,
393 Promenade des Anglais, 06202, Nice, France. Tel: +33 (0)4 93 18 32 55, E-mail:
Joelle.Miffre@
The authors would like to thank Adrian Fernandez-Perez, Ana-Maria Fuertes, Abraham
Lioui, Zenu Sharma and participants at the the EDHEC-Risk Alternative Investments Days
2010 and at a research seminar at EDHEC Business School. The usual disclaimer applies.
Electronic copy available at: /abstract=1340873
Capturing the Risk Premium of Commodity
Futures: The Role of Hedging Pressure
Abstract
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. We find positive and significant commodity futures risk premiums from
both single and double sorts, alongside with Sharpe ratios that systematically exceed
those of long-only commodity portfolios. Further tests show that the hedging pressure
risk premiums rise with the lagged volatility of commodity markets and that the cross-
sectional price of commodity risk is positive. Finally, the hedging pressure risk
premiums are found to explain the performance of active commodity portfolios better
than long-only commodity benchmarks and to act as better diversifiers of equity risk.
Keywords: Commodi
您可能关注的文档
- [Goldman Sachs] Valuing Convertible Bonds as Derivatives外文翻译.pdf
- 09.05.2012 Erdrich-The Red Convertible外文翻译.pdf
- A hybrid KMV model, random forests and rough set theory approach for credit rating外文翻译.pdf
- A Negotiation-Credit-Auction mechanism for procuring customized products外文翻译.pdf
- A perspective on credit derivatives外文翻译.pdf
- Adobe Creative Suite 5 Design Premium Classroom in a Book外文翻译.pdf
- Adobe Creative Suite 6 Design & Web Premium Classroom in a Book外文翻译.pdf
- Adobe Creative Suite 6 Production Premium Classroom in a Book外文翻译.pdf
- Bankruptcy prediction and structural credit risk models外文翻译.pdf
- Ch01-The Equity Premium ABCs外文翻译.pdf
- 部分可观测性下组合任务运动一种基于优化方法camille phiquepal 1153.pdf
- pcf2测量报告全尺寸part.pdf
- 画猫男孩级读者剧场剧本根据民间故事改编由kitty the boy who drew cats.pdf
- 文本说明二阶段-2x1000mw1acfc.pdf
- 批准hcki534d 544d-绕组技术数据表hcki5d 17 td en rev.pdf
- uu24m6-检测按键灯网口等.pdf
- 文案技术数据表2007technical datasheet.pdf
- 3g sleep mode application note睡眠模式应用程序说明.pdf
- 芯驿电子科技教程302 petalinux安装.pdf
- 案例shapemonkey用户指南2017 dan ebberts orrin user.pdf
文档评论(0)