The Skewness of Commodity Futures Returns PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download The Skewness of Commodity Futures Returns PDF full book. Access full book title The Skewness of Commodity Futures Returns by Adrian Fernandez-Perez. Download full books in PDF and EPUB format.
Author: Adrian Fernandez-Perez
Publisher:
ISBN:
Category :
Languages : en
Pages : 43
Get Book Here
Book Description
This article studies the relation between the skewness of commodity futures returns and expected returns. A trading strategy that takes long positions in commodity futures with the most negative skew and shorts those with the most positive skew generates significant excess returns that remain after controlling for exposure to well-known risk factors. A tradeable skewness factor explains the cross-section of commodity futures returns beyond exposures to standard risk premia. The impact that skewness has on future returns is explained by investors' preferences for skewness under cumulative prospect theory and selective hedging practices.
Author: Adrian Fernandez-Perez
Publisher:
ISBN:
Category :
Languages : en
Pages : 43
Get Book Here
Book Description
This article studies the relation between the skewness of commodity futures returns and expected returns. A trading strategy that takes long positions in commodity futures with the most negative skew and shorts those with the most positive skew generates significant excess returns that remain after controlling for exposure to well-known risk factors. A tradeable skewness factor explains the cross-section of commodity futures returns beyond exposures to standard risk premia. The impact that skewness has on future returns is explained by investors' preferences for skewness under cumulative prospect theory and selective hedging practices.
Author: Harry M. Kat
Publisher:
ISBN:
Category :
Languages : en
Pages : 35
Get Book Here
Book Description
In this paper we study the univariate return properties of a large variety of commodity futures. Our analysis shows that the volatility of commodity futures is comparable to that of US large cap stocks. Yet, with the exception of energy, a consistently positive risk premium is lacking in commodity futures. We also find that for many commodities, futures returns and volatility can vary considerably over different phases of the business cycle, under different monetary conditions as well as with the shape of the futures curve. Skewness in commodity futures returns is largely insignificant, whereas kurtosis is significantly positive and comparable to that of US large cap stocks. In almost all commodities we find significant degrees of autocorrelation, which affects the properties of longer horizon returns.
Author: Marinela Adriana Finta
Publisher:
ISBN:
Category :
Languages : en
Pages : 46
Get Book Here
Book Description
This paper investigates the role of realized and implied and their risk premia (variance and skewness) for commodities' future returns. We estimate these moments from high frequency and commodity futures option data that results in forward-looking measures. Risk premia are computed as the difference between implied and realized moments. We highlight, from a cross-sectional and time series perspective, the strong positive relation between commodity returns and implied skewness. Moreover, we emphasize the high performance of skewness risk premium. Additionally, we show that their portfolios exhibit the best risk-return tradeoff. Most of our results are robust to other factors such as the momentum and roll yield.
Author: Gary B. Gorton
Publisher:
ISBN:
Category :
Languages : en
Pages : 63
Get Book Here
Book Description
Commodity futures risk premiums vary across commodities and over time depending on the level of physical inventories, as predicted by the Theory of Storage. Using a comprehensive dataset on 31 commodity futures and physical inventories between 1969 and 2006, we show that the convenience yield is a decreasing, non-linear relationship of inventories. Price measures, such as the futures basis, prior futures returns, and spot returns reflect the state of inventories and are informative about commodity futures risk premiums. The excess returns to Spot and Futures Momentum and Backwardation strategies stem in part from the selection of commodities when inventories are low. Positions of futures markets participants are correlated with prices and inventory signals, but we reject the Keynesian quot;hedging pressurequot; hypothesis that these positions are an important determinant of risk premiums.
Author: Gary Gorton
Publisher:
ISBN:
Category : Commodity futures
Languages : en
Pages : 45
Get Book Here
Book Description
Commodity futures risk premiums vary across commodities and over time depending on the level of physical inventories, as predicted by the Theory of Storage. Using a comprehensive dataset on 31 commodity futures and physical inventories between 1969 and 2006, we show that the convenience yield is a decreasing, non-linear relationship of inventories. Price measures, such as the futures basis, prior futures returns, and spot returns reflect the state of inventories and are informative about commodity futures risk premiums. The excess returns to Spot and Futures Momentum and Backwardation strategies stem in part from the selection of commodities when inventories are low. Positions of futures markets participants are correlated with prices and inventory signals, but we reject the Keynesian "hedging pressure" hypothesis that these positions are an important determinant of risk premiums.
Author: Frederick L. A. Grauer
Publisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 290
Get Book Here
Book Description
Author: Frans de Roon
Publisher:
ISBN:
Category :
Languages : en
Pages : 40
Get Book Here
Book Description
In this paper we study consumption risk pricing in commodity futures markets. We find that, like stock returns, the conditional Consumption CAPM explains up to 60% of the cross sectional variation in mean futures returns. However, unlike stock returns, using contemporaneous plus future consumption growth reduces the performance of the model. We attribute this result to the fact that for commodities supply changes impact prices and therefore consumption. Consistent with this notion we find that production- and inventory-based factors are significant determinants of the long run risk in commodities markets, which may explain the poor performance of ultimate consumption risk model.
Author: Frank J. Fabozzi
Publisher: John Wiley & Sons
ISBN: 0470293209
Category : Business & Economics
Languages : en
Pages : 986
Get Book Here
Book Description
Filled with a comprehensive collection of information from experts in the commodity investment industry, this detailed guide shows readers how to successfully incorporate commodities into their portfolios. Created with both the professional and individual investor in mind, The Handbook of Commodity Investments covers a wide range of issues, including the risk and return of commodities, diversification benefits, risk management, macroeconomic determinants of commodity investments, and commodity trading advisors. Starting with the basics of commodity investments and moving to more complex topics, such as performance measurement, asset pricing, and value at risk, The Handbook of Commodity Investments is a reliable resource for anyone who needs to understand this dynamic market.
Author: Lin Gao
Publisher:
ISBN:
Category :
Languages : en
Pages : 56
Get Book Here
Book Description
We identify a strong presence of sentiment exposure in commodity futures returns. Sentiment is able to provide additional explanatory power for comovement among commodity futures beyond the macro- and equity-related sources. Commodity futures with low open interest growth, high volatilities, low momentum, or low futures basis are more sensitive to change in sentiment. Similar to Baker and Wurgler (2006), we construct a market sentiment index by Partial Least Squares regressions (PLS) with non-return based stock market proxies, in particular higher moments of the option implied return distribution. Moreover, our sentiment index can be built on a daily basis.
Author: Hilary Till
Publisher:
ISBN:
Category :
Languages : en
Pages : 41
Get Book Here
Book Description
Broadly speaking, there are seven strands of literature on commodity pricing theory, which we summarize as follows: The insurance role of commodity futures contracts, which emphasizes the role of the speculator; the theory of storage, which emphasizes the behavior of the inventory holder and commercial hedger; the net-hedging-pressure hypothesis, which encompasses the behavior of both classes of participants; the statistical behavior of commodity futures prices; the attempt to reconcile commodity futures returns with the CAPM; the role of commodities in a strategic asset allocation; and the importance of yields as a long-term driver of commodity returns. Each strand of thought is covered in this paper. The paper concludes that short-horizon effects are due to seasonal hedging pressure and that the price-pressure effects due to seasonal hedging pressure may be slight enough that they can only be detected through trends in futures spreads. The paper also concludes that there appears to be reliable long-horizon effects on outright futures contracts as well.
