Futures and commodities
Roll yield, hedging pressure, backwardation, and what really drives commodity futures returns.
| Citation | Paper | Access | Difficulty | Score |
|---|---|---|---|---|
| Kang et al. (2020) | A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets Journal of Finance | Free | Technical | 0 |
| Szymanowska et al. (2014) | An Anatomy of Commodity Futures Risk Premia Journal of Finance | Paywalled | Technical | 0 |
| Gorton et al. (2013) | The Fundamentals of Commodity Futures Returns Review of Finance | Free | Technical | 0 |
| Tang & Xiong (2012) | Index Investment and the Financialization of Commodities Financial Analysts Journal | Free | Moderate | 0 |
| Mou (2011) | Limits to Arbitrage and Commodity Index Investment: Front-Running the Goldman Roll SSRN Working Paper | Free | Moderate | 0 |
| Miffre & Rallis (2007) | Momentum Strategies in Commodity Futures Markets Journal of Banking and Finance | Paywalled | Moderate | 0 |
| Erb & Harvey (2006) | The Strategic and Tactical Value of Commodity Futures Financial Analysts Journal | Free | Moderate | 0 |
| Gorton & Rouwenhorst (2006) | Facts and Fantasies about Commodity Futures Financial Analysts Journal | Free | Easy read | 0 |
| Bessembinder (1992) | Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets Review of Financial Studies | Paywalled | Technical | 0 |