Abstract

http://ssrn.com/abstract=2079664
 


 



Commodity Investing


K. Geert Rouwenhorst


Yale School of Management - International Center for Finance

Ke Tang


Renmin University of China

June 7, 2012

Yale ICF Working Paper No. 06-12

Abstract:     
This paper reviews the literature on commodities from the perspective of an investor. We re-examine some of the early papers in the literature using recent data, and find that the empirical support for the Theory of Normal Backwardation as an explanation for the commodity risk premium is weak, and that the evidence is more consistent with storage decisions. We then review the behaviour of the main participants in the commodity futures markets with a particular focus on their impact on prices. While there is continued disagreement in the literature about the role of speculative activity, our results show that money managers are generally momentum (positive feedback) traders, while producers are net short and contrarian (negative feedback) traders. There is less evidence that index traders and swap dealers trade based on past futures returns.

Number of Pages in PDF File: 31

Keywords: Commodity futures, Theory of Storage, Theory of Normal Backwardation, Risk premium, Trader positions

JEL Classification: G13

working papers series


Download This Paper

Date posted: June 8, 2012 ; Last revised: August 10, 2012

Suggested Citation

Rouwenhorst, K. Geert and Tang, Ke, Commodity Investing (June 7, 2012). Yale ICF Working Paper No. 06-12. Available at SSRN: http://ssrn.com/abstract=2079664 or http://dx.doi.org/10.2139/ssrn.2079664

Contact Information

K. Geert Rouwenhorst (Contact Author)
Yale School of Management - International Center for Finance ( email )
135 Prospect Street
P.O. Box 208200
New Haven, CT 06520-8200
United States
203-432-6046 (Phone)
203-432-8931 (Fax)
HOME PAGE: http://som.yale.edu/~geert/

Ke Tang
Renmin University of China ( email )
Room B906, Xianjin Building
Beijing, Beijing 100872
China
Feedback to SSRN


Paper statistics
Abstract Views: 2,050
Downloads: 530
Download Rank: 26,953

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo8 in 0.375 seconds