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

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Conférencier : K. Geert Rouwenhorst - Yale School of Management
Date de l'événement : mardi 18 septembre 2018 12:30 - 13:45
Lieu :
Luxembourg School of Finance
JFK Building
29,Avenue J.F Kennedy
L-1855 Luxembourg
Ground Floor, Nancy Room

Abstract
This paper studies the dynamic interaction between the net
positions of commercial hedgers and non-commercial
speculators 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 from 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.

Fichier : Invitation_G.Rouwenhorst_18.09.2018.pdf 382,79 kB