Fan, John Hua
[Verfasser:in]
;
Fernandez-Perez, Adrian
[Sonstige Person, Familie und Körperschaft];
Fuertes, Ana-Maria
[Sonstige Person, Familie und Körperschaft];
Miffre, Joëlle
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
In: Journal of Futures Markets, Forthcoming
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 27, 2019 erstellt
Beschreibung:
The paper investigates the information content of speculative pressure across futures classes. Long-short portfolios of futures contracts sorted by speculative pressure capture a significant premium in commodity, currency and equity markets but not in fixed income markets. Exposure to commodity, currency and equity index futures' speculative pressure is priced in the broad cross-section after controlling for momentum, carry, global liquidity and volatility risks. The findings are confirmed by robustness tests using alternative speculative pressure signals, portfolio construction techniques and sub-periods inter alia. We argue that there is an efficient hedgers-speculators risk transfer in commodity, currency and equity index futures markets