An Anatomy of Commodity Futures Risk Premia

IF 0.4 4区经济学 Q4 BUSINESS, FINANCE

Journal of Derivatives Pub Date : 2013-01-23 DOI:10.2139/ssrn.1343809

M. Szymanowska, Frans de Roon, T. Nijman, Rob van den Goorbergh

引用次数: 269

Abstract

We identify two types of risk premia in commodity futures returns: spot premia related to the risk in the underlying commodity, and term premia related to changes in the basis. Sorting on forecasting variables such as the futures basis, return momentum, volatility, inflation, hedging pressure, and liquidity results in sizable spot premia between 5% and 14% per annum and term premia between 1% and 3% per annum. We show that a single factor, the high-minus-low portfolio from basis sorts, explains the cross-section of spot premia. Two additional basis factors are needed to explain the term premia.

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商品期货风险溢价剖析

我们在商品期货收益中确定了两种类型的风险溢价:与基础商品风险相关的现货溢价和与基础变化相关的期限溢价。根据预测变量(如期货基础、收益动量、波动性、通胀、对冲压力和流动性)进行排序，现货溢价每年在5%至14%之间，期限溢价每年在1%至3%之间。我们证明了一个单一的因素，即来自基类的高-低组合，可以解释现货溢价的横截面。解释术语溢价还需要两个额外的基本因素。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Derivatives Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.30

自引率

14.30%

发文量

期刊介绍： The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing detailed analyses of theoretical models and how they are used in practice. JOD gives you results-oriented analysis and provides full treatment of mathematical and statistical information on derivatives products and techniques. JOD includes articles about: •The latest valuation and hedging models for derivative instruments and securities •New tools and models for financial risk management •How to apply academic derivatives theory and research to real-world problems •Illustration and rigorous analysis of key innovations in derivative securities and derivative markets