A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets

• 成果类型: Article
• 署名作者: Kang, Wenjin; Rouwenhorst, K. Geert; Tang, Ke
• 署名单位: Shanghai University of Finance & Economics; Shanghai Institute of International Finance & Economics; Yale University; Tsinghua University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12845
• 发表日期: 2020
• 页码: 377-417
• 关键词: HEDGING PRESSURE; liquidity; returns; RISK; financialization; performance; INFORMATION; INVESTMENT; strategies; momentum

摘要

This paper studies the dynamic interaction between the net positions of traders and risk premiums in commodity futures markets. Short-term position changes are driven mainly by the liquidity demands of noncommercial traders, while long-term variation is driven primarily by the hedging demands of commercial traders. These two components influence expected futures returns with opposite signs. The gains from providing liquidity by commercials largely offset the premium they pay for obtaining price insurance.