Time-Varying Risk Premiums and Term Premiums in Commodity Futures

Autor:	Denis B. Chaves
Rok vydání:	2017
Předmět:	Economics and Econometrics 050208 finance Financial economics Roll yield Normal backwardation 05 social sciences Contango Commodity pool 0502 economics and business Economics Forward market 050207 economics Hedge (finance) Futures contract Finance Spread trade
Zdroj:	The Journal of Alternative Investments. 19:39-52
ISSN:	2168-8435 1520-3255
DOI:	10.3905/jai.2017.19.4.039
Popis:	Term premiums, defined as the excess return of long-dated contracts over short-dated contracts, in commodity futures are strongly predictable, both in the time series and in the cross section, by roll yield spreads. Strategies that exploit this predictability show sizable Sharpe ratios and are uncorrelated with strategies that exploit predictability in risk premiums using the basis in futures prices, that is, use contango and backwardation conditions in futures market to develop their strategies.
Databáze:	OpenAIRE
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