Mohammad Isleimeyyeh (Dauphine University) - The Role of Financial Investors on Commodity Futures Risk Premium

I develop and test a theoretical model to study the interaction between the commodity and stock markets. The article settles the debate between the two conflicting empirical opinions about the effect of financialization on commodity markets: one that claims there is an effect, and one that denies that effect. The theoretical model determines the futures risk premium by using three factors: the hedging pressure, the stock market returns, and the commodity-equity correlation. I test the futures risk Read more [...]