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Hedging Pressure in Commodity Futures by Yuchao Wang is a document available to read on EtoBox.
What is Hedging Pressure in Commodity Futures about?
The paper constructs long-short factor mimicking portfolios to analyze the hedging pressure risk premium in commodity futures, revealing that these portfolios outperform long-only benchmarks with higher Sharpe ratios. It finds that hedging pressure is a systematic factor influencing commodity futures risk premiums, which increases with market volatility. Additionally, the study highlights the distinct predictive power of hedging pressure compared to past returns and term structure slopes in forecasting comm
- Author
- Yuchao Wang
- Language
- EN