A growing body of literature confirms the significance of the commodity futures basis factor: It has a significantly … positive premium and it explains the cross-section of commodity-futures excess returns. We extend the literature by documenting … predictive relation between this factor and the inter-quartile spread in the basis. Using commodity futures market data between …

In this paper, we develop an equilibrium framework to explain the characteristics of volatility index (VIX) futures … prices and returns across maturities. In the framework, the investors prefer VIX futures with specific maturities, and the … arbitrageurs optimize portfolios based on mean-variance preferences. The model-implied futures prices are affected by the variance …

that they can use the VIX futures term structure not only as a proxy of market expectations on forward volatility, but also …Our work relates to the literature supporting that the VIX also mirrors investor sentiment and, thus, contains useful … information regarding future S&P500 returns. The objective of this empirical analysis is to verify if the shape of the volatility …