Financialization and speculators risk premia in commodity futures markets

被引：10

作者：

Carter, Colin A. ^{[1
,2
]}

Revoredo-Giha, Cesar ^{[3
]}

机构：

[1] Univ Calif Davis, Dept Agr & Resource Econ, Davis, CA 95616 USA

[2] Univ Calif Davis, Giannini Fdn Agr Econ, Davis, CA 95616 USA

[3] Scotlands Rural Coll, Rural Econ Environm & Soc Dept, Edinburgh, Scotland

来源：

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2023年 / 88卷

关键词：

Normal backwardation; Futures risk premium; Commodity market financialization; EFFICIENT ASSET PORTFOLIOS; NORMAL BACKWARDATION; HEDGING PRESSURE; RETURNS; COTTON;

D O I：

10.1016/j.irfa.2023.102691

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

J.M. Keynes coined the term normal backwardation, a situation where a futures price for a particular expiry month is less than the expected spot price for that month. He argued hedgers pay speculators a risk premium, giving rise to normal backwardation. We study the behavior of commodity futures before and since financialization of the markets, which started about 20 years ago. We find the poor returns to managed futures in recent years are likely due to the impact of financialization and the associated outside money suppressing the futures risk premium.

引用

页数：10

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