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Do Momentum and Reversal Strategies Work in Commodity Futures? A Comprehensive Study

Urquhart, Andrew - 2018

, there are statistical and economically significant momentum profits, and the profitability increases with the rising of … than the other two momentum strategies on a risk-adjusted basis; but the superiority declines sharply since 1998. Momentum … returns are quite sensitive to market conditions but the crash of momentum returns are partly predictable. Return seasonality …

Persistent link: https://www.econbiz.de/10012909035

The Information Content of Commodity Futures Markets

Alves, Rómulo - 2019

We find that commodity futures returns contain information relevant to stock market returns and macroeconomic fundamentals for a large number of countries. Commodity futures returns predict stock market returns in 59 out of 70 countries and macroeconomic fundamentals in 62 countries. This...

Persistent link: https://www.econbiz.de/10012890635

Two Centuries of Commodity Futures Premia : Momentum, Value and Basis

Geczy, Christopher - 2019

well-documented cross-sectional commodity factor premia of momentum, value and basis. All three premia remain significantly …

Persistent link: https://www.econbiz.de/10012892589

Oil Jump Risk

Ebrahimi, Nima - 2019

We show that the innovation in the risk-neutral probability of large downward and upward jumps in oil prices has a considerable predictive power for important economic indicators such as GDP growth, consumption growth, and total investment. In addition, we observe that the upside jump risk...

Persistent link: https://www.econbiz.de/10012899468

Order Flows and Financial Investor Impacts in Commodity Futures Markets

Ready, Mark - 2019

We investigate the impacts of financial investors in commodity markets using intraday trade-and- quote data for commodity futures. We find strong evidence of order flows and price impacts in agricultural futures markets associated with changes in the positions of index traders reported by the...

Persistent link: https://www.econbiz.de/10012899535

The Dynamics of Commodity Spot, Forward, Futures Prices and Convenience Yield

Nakajima, Katsushi - 2018

This paper studies commodity spot, forward, and futures prices under a continuous-time setting. Our model considers a representative firm, which uses an input commodity to produce an output commodity, stores the commodity, and trades forward or futures commodities to hedge. Through the...

Persistent link: https://www.econbiz.de/10012936304

Exploration Activity, Long-Run Decisions, and the Risk Premium in Energy Futures

David, Alexander - 2018

Investment by oil firms positively affects the futures basis and negatively predicts excess returns on crude oil futures. I build an equilibrium model of drilling, exploration, and storage to understand these facts. Firms' capital stock lowers extraction costs as firms drill in increasingly...

Persistent link: https://www.econbiz.de/10012936851

The Economic Drivers of Commodity Market Volatility

Prokopczuk, Marcel - 2019

We analyze the relationship between economic uncertainty and commodity market volatility. We find that commodity market volatility comoves strongly with economic and financial uncertainty, especially during recessions. Variables associated with credit risk, financial market stress, and...

Persistent link: https://www.econbiz.de/10012866910

Internet Appendix to 'A Tale of Two Premiums : The Role of Hedgers and Speculators in Commodity Futures Markets'

Kang, Wenjin - 2019

This paper studies the dynamic interaction between the net positions of traders and risk premiums in commodity futures markets. Short-term position changes are mainly driven by the liquidity demands of non-commercial traders, while long-term variation is primarily driven by the hedging demands...

Persistent link: https://www.econbiz.de/10012872030

Benchmarking Commodity Investments

Blocher, Jesse - 2017

and term risk premia in an intuitive manner related to investable portfolios. The straightforward construction of our … sorted portfolios and risk adjusted alphas as benchmarks. Thus, we feel it is an appropriate benchmark to evaluate commodity …

Persistent link: https://www.econbiz.de/10012969828