Capturing the Risk Premium of Commodity Futures: The Role of Hedging Pressure

By D. Basu, Joëlle Miffre. 2013

207 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5f116746fee2d6a0d3e918c8a7e894199003d5f9

How researchers see this paper

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In Accounting

1. Kenneth J. Singleton
2. Alexander Braun

In Economics and Econometrics

1. Kenneth J. Singleton
2. Jessica A. Wachter
3. Qiang Dai
4. Andrew Ang
5. Leo Krippner
6. DongHo Song
7. Xavier Gabaix
8. Albert Lee Chun

In Finance

1. Kenneth J. Singleton
2. Darrell Duffie
3. Garland B. Durham
4. Qiang Dai
5. Glenn D. Rudebusch
6. Andrew Ang
7. M. Carrasco
8. Jean-Pierre Florens

Citations in the corpus

• Investor Flows and the 2008 Boom/Bust in Oil Prices (2014, background): “In two recent explorations of this issue Gorton, Hayashi, and Rouwenhorst (2007) find no support for the hedging pressure hypothesis, while Basu and Miffre (2011) argue that systematic hedging pressure is an important determinant of risk premiums. Both use the aggregated CFTC data on commercial and ”
• The Skewness of Commodity Futures Returns (2018, unknown): “, 2013), net short hedging and net long speculation (Bessembinder, 1992; Basu and Miffre, 2013; Dewally et al., 2013); they also short contangoed commodities with opposite characteristics.”