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  • Speculative pressure

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    Fan302958-Accepted.pdf (435.4Kb)
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    Accepted Manuscript (AM)
    Author(s)
    Fan, John Hua
    Fernandez-Perez, Adrian
    Fuertes, Ana-Maria
    Miffre, Joelle
    Griffith University Author(s)
    Fan, John H.
    Year published
    2019
    Metadata
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    Abstract
    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 subperiods interalia. We ...
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    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 subperiods interalia. We argue that there is an efficient hedgers‐speculators risk transfer in commodity, currency, and equity index futures markets.
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    Journal Title
    Journal of Futures Markets
    DOI
    https://doi.org/10.1002/fut.22085
    Copyright Statement
    © 2019 Wiley Periodicals, Inc. This is the peer reviewed version of the following article: Speculative pressure, The Journal of Futures Markets, 2019, which has been published in final form at https://doi.org/10.1002/fut.22085. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving (http://olabout.wiley.com/WileyCDA/Section/id-828039.html)
    Note
    This publication has been entered into Griffith Research Online as an Advanced Online Version
    Subject
    Banking, finance and investment
    Publication URI
    http://hdl.handle.net/10072/389937
    Collection
    • Journal articles

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