Abstract

http://ssrn.com/abstract=2170919
 


 



Commodity Investing


K. Geert Rouwenhorst


Yale School of Management - International Center for Finance

Ke Tang


Renmin University of China

October 2012

Annual Review of Financial Economics, Vol. 4, pp. 447-467, 2012

Abstract:     
This article 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 behavior of the main participants in the commodity futures markets with a particular focus on their impact on prices. Although 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.

Accepted Paper Series





Not Available For Download

Date posted: November 4, 2012  

Suggested Citation

Rouwenhorst, K. Geert and Tang, Ke, Commodity Investing (October 2012). Annual Review of Financial Economics, Vol. 4, pp. 447-467, 2012. Available at SSRN: http://ssrn.com/abstract=2170919 or http://dx.doi.org/10.1146/annurev-financial-110311-101716

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
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