A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets
61 Pages Posted: 14 Jun 2014 Last revised: 22 Apr 2019 Abstract 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 d
papers.ssrn.com
Yale의 Greet Rouwenhorst가 선물쪽에는 대가인 듯. 잘은 모르겠는데. 어쨌든 결론은 단기는 수급, 장기는 헷징 매커니즘이 있다는 얘기 같음. 읽어보진 않았음.
SDCI Methodology – SummerHaven Commodity Index Management (summerhavenindex.com)
SDCI Methodology – SummerHaven Commodity Index Management
The SummerHaven Dynamic Commodity Index (“SDCI”) was developed by SummerHaven Index Management to provide an active commodity index benchmark for investors. The SDCI is based on the notion that commodities with low inventories will tend to outperform c
summerhavenindex.com
K. Geert Rouwenhorst | Yale School of Management
K. Geert Rouwenhorst
Geert Rouwenhorst specializes in empirical finance and asset pricing. His research interests include risk and return in international equity markets, commodity investments, and the history of financial innovation. He has held visiting positions at MIT and
som.yale.edu
K. Geert Rouwenhorst - Google Scholar
K. Geert Rouwenhorst
Robert B. and Candice J. Haas Professor of Corporate Finance, Yale School of Management - Cited by 14,133 - Business Cycles - International Finance - Commodities - Financial History
scholar.google.com
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