SZYMANOWSKA, MARTA; ROON, FRANS; NIJMAN, THEO; … - In: Journal of Finance 69 (2014) 1, pp. 453-482
type="main" <title type="main">ABSTRACT</title> <p>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,...</p>