Journal Article10.1086/296385
Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: This article examined two models of commodity futures prices and found evidence of variation in the basis in response to both interest rates and seasonals in convenience yields, and showed evidence of forecast power for 10 of 21 commodities and time-varying expected premiums for five commodities.
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Abstract: We examine two models of commodity futures prices. The theory of storage explains the difference between contemporaneous futures and spot prices (the basis) in terms of interest changes, warehousing costs, and convenience yields. We find evidence of variation in the basis in response to both interest rates and seasonals in convenience yields. The second model splits a futures price into an expected premium and a forecast of the maturity spot price. We find evidence of forecast power for 10 of 21 commodities and time-varying expected premiums for five commodities.
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Citations
Options-based forecasts of futures prices in the presence of limit moves
TL;DR: In this paper, a simultaneous estimation option-based approach was used to forecast futures prices in the presence of daily price limit moves, which explicitly allows for changing implied volatilities by estimating the implied futures price and the implied volatility simultaneously.
Scarcity, Risk Premiums, and the Pricingof Commodity Futures: The Case of Crude Oil Contracts
Marco Haase,Heinz Zimmermann +1 more
TL;DR: In this article, a simple decomposition of spot prices into a pure asset price plus a scarcity related price component is proposed, which replaces the traditional convenience yield that results from an imperfect no-arbitrage relationship of commodity futures prices.
9
An Examination of Price Discovery and Hedging Efficiency of Indian Equity Futures Market
Kapil Gupta,Balwinder Singh +1 more
TL;DR: In this article, the authors investigated the price discovery and hedging efficiency of NIFTY and all those stock futures whose trading started on 9th November 2001 and are continuously traded till 30th June 2006.
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Risk Premia in Chinese Commodity Markets
TL;DR: This paper decompose the returns of commodity futures into spot and term premia and find that the term premium is not driven by liquidity and is negatively related to basis likely due to mean-reversion in basis.
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Commodity Risks and the Cross-Section of Equity Returns
TL;DR: This article examined whether commodity risk is priced in the cross-section of global equity returns and found that equities with greater sensitivities to the excess returns of the backwardation and contango portfolio command higher average excess returns.
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TL;DR: In this paper, a regression approach to measure the information in forward interest rates about time varying premiums and future spot interest rates is presented. But the regression approach is limited to short-term Treasury bills and does not consider longer-maturity bills.
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Futures Trading and the Storage of Cotton and Wheat
TL;DR: In this article, a theory of stockholding and futures markets is proposed to predict the relations among some of the data collected in futures markets, which is inconsistent with the theory of futures markets advanced by J. M. Keynes and J. R. Hicks.
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TL;DR: In this article, the authors argue that if the current spot price equals the true expectation of the future spot price, the futures market cannot provide a better forecast than the realized spot price.
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