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“The informational content of open interest on commodity future returns”
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| 1.28 MB | Adobe PDF |
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Resumo(s)
This analysis is building on the initial work by Hong and Yogo (2012) and examines the informational content of commodity futures open interest changes across categories of market participants in the intra- and post-financialization era (2006 – 2024). Using the
disaggregated Commitments of Traders report by the Commodity Futures Trading Commission, the study analyzes monthly excess returns of an equally weighted commodity futures portfolio. The analysis finds that a one-standard-deviation increase in open interest by money managers is associated with a 1.10% decline in the expected returns. In contrast, increasing open interest(participation) by producers lead to generally increasing excess returns.
Descrição
Palavras-chave
Commodity futures Financialization of commodities Intermediary asset pricing Financial intermediation