Systemic Risk Centre Seminar
Date: Monday, 6th June 2022
Time: 1.00 - 2.00pm BST
Speaker: Arie Gozluklu (Warwick Business School)
Seminar title: Speculator Spreading Pressure and the Commodity Futures Risk Premium
Abstract: This paper investigates the impact of speculative trading on the commodity futures risk premium. We focus on speculators' intra-commodity spread positions, and study the asset pricing implications of spreading pressure (SP), that is, spread positions scaled by open interest, on the cross-section of commodity futures returns. We document that SP negatively predicts futures excess returns. We propose a SP factor, a long-short portfolio based on SP that is priced in the commodity futures market, even after controlling for well-known factors. Our empirical tests show that the SP factor is linked to informational frictions that are introduced via commodity index investments.
Update: This public event will now be delivered online only due to the TfL Tube strike scheduled for Monday, 6th June.