메뉴 건너뛰기




Volumn 4, Issue , 2012, Pages 447-467

Commodity Investing

Author keywords

commodity futures; risk premium; theory of normal backwardation; theory of storage; trader positions

Indexed keywords


EID: 84877601217     PISSN: 19411367     EISSN: 19411375     Source Type: Journal    
DOI: 10.1146/annurev-financial-110311-101716     Document Type: Review
Times cited : (89)

References (66)
  • 1
    • 84918848612 scopus 로고    scopus 로고
    • Limits to arbitrage and hedging: Evidence from commodity markets
    • NYU
    • Acharya V, Lochstoer L, Ramadorai T. 2009. Limits to arbitrage and hedging: Evidence from commodity markets. Work. Pap., NYU
    • (2009) Work. Pap
    • Acharya, V.1    Lochstoer, L.2    Ramadorai, T.3
  • 2
    • 84993894890 scopus 로고
    • Macroeconomic influences and the variability of the commodity futures basis
    • Bailey W, Chan KC. 1993. Macroeconomic influences and the variability of the commodity futures basis. J. Finance 48:555-73
    • (1993) J. Finance , vol.48 , pp. 555-573
    • Bailey, W.1    Chan, K.C.2
  • 3
    • 21144460194 scopus 로고
    • Systematic risk, hedging pressure, and risk premiums in futures markets
    • Bessembinder H. 1992. Systematic risk, hedging pressure, and risk premiums in futures markets. Rev. Financ. Stud. 4:637-67
    • (1992) Rev. Financ. Stud , vol.4 , pp. 637-667
    • Bessembinder, H.1
  • 4
    • 0001915850 scopus 로고
    • Risk and return in commodity futures
    • Bodie Z, Rosansky V. 1980. Risk and return in commodity futures. Financ. Anal. J. 36:27-39
    • (1980) Financ. Anal. J. , vol.36 , pp. 27-39
    • Bodie, Z.1    Rosansky, V.2
  • 5
    • 0002341396 scopus 로고
    • The supply of storage
    • Brennan M. 1958. The supply of storage. Am. Econ. Rev. 48:50-72
    • (1958) Am. Econ. Rev , vol.48 , pp. 50-72
    • Brennan, M.1
  • 6
    • 0002844363 scopus 로고
    • The price of convenience and the valuation of commodity contingent claims
    • ed. D Lund, B Oksendal. New York Elsevier
    • Brennan M. 1991. The price of convenience and the valuation of commodity contingent claims. In Stochastic Models and Option Values, ed. D Lund, B Oksendal, pp. 33-71. New York: Elsevier
    • (1991) Stochastic Models and Option Values , pp. 33-71
    • Brennan, M.1
  • 7
    • 84896973562 scopus 로고    scopus 로고
    • Speculators, prices and market volatility
    • Johns Hopkins Univ
    • Brunetti C, Bü yü ksahin B, Harris J. 2011. Speculators, prices and market volatility. Work. Pap.,Johns Hopkins Univ
    • (2011) Work. Pap
    • Brunetti, C.1    Büyüksahin, B.2    Harris, J.3
  • 8
    • 79960178966 scopus 로고    scopus 로고
    • The role of speculators in the crude oil futures market
    • Bü yü ksahin B, Harris J. 2011. The role of speculators in the crude oil futures market. Energy J. (Camb. Mass.) 32:167-202
    • (2011) Energy J. (Camb. Mass , vol.32 , pp. 167-202
    • Büyüksahin, B.1    Harris, J.2
  • 9
    • 84882372953 scopus 로고    scopus 로고
    • Do inventories really yield a convenience? An empirical analysis of the risk-Adjusted spread
    • Univ. Leuven
    • Carbonez K, Nguyen VTT, Sercu P. 2009. Do inventories really yield a convenience? An empirical analysis of the risk-Adjusted spread. Work. Pap., Univ. Leuven
    • (2009) Work. Pap
    • Carbonez, K.1    Nguyen, V.T.T.2    Sercu, P.3
  • 10
    • 84882392639 scopus 로고    scopus 로고
    • Measuring scarcity in agricultural markets 1900-2000: The shifting informativeness of price V storage data
    • Univ. Leuven
    • Carbonez K, Nguyen VTT, Sercu P. 2010. Measuring scarcity in agricultural markets, 1900-2000: The shifting informativeness of price V storage data. Work. Pap., Univ. Leuven
    • (2010) Work. Pap
    • Carbonez, K.1    Nguyen, V.T.T.2    Sercu, P.3
  • 11
    • 0000721981 scopus 로고
    • Efficient asset portfolios and the theory of normal backwardation
    • Carter C, Rausser G, Schmitz A. 1983. Efficient asset portfolios and the theory of normal backwardation. J. Polit. Econ. 91:319-31
    • (1983) J. Polit. Econ , vol.91 , pp. 319-331
    • Carter, C.1    Rausser, G.2    Schmitz, A.3
  • 12
    • 0000951422 scopus 로고
    • Returns to speculators and the theory of normal backwardation
    • Chang E. 1985. Returns to speculators and the theory of normal backwardation. J. Finance 40:193-208
    • (1985) J. Finance , vol.40 , pp. 193-208
    • Chang, E.1
  • 13
    • 84882423514 scopus 로고    scopus 로고
    • Commodity swap dealers & index traders with commission recommendations
    • Commodity Futures Trading Commission (CFTC). Washington, DC, Sep
    • Commodity Futures Trading Commission (CFTC). 2008. Commodity swap dealers & index traders with commission recommendations. CFTC Staff Rep.Washington, DC, Sep. http://www.loe.org/images/content/080919/ cftcstaffreportonswapdealers09.pdf
    • (2008) CFTC Staff Rep
  • 14
    • 0001028427 scopus 로고
    • Returns to speculators: Telser versus keynes
    • Cootner P. 1960. Returns to speculators: Telser versus Keynes. J. Polit. Econ. 68:396-404
    • (1960) J. Polit. Econ , vol.68 , pp. 396-404
    • Cootner, P.1
  • 15
    • 0000271915 scopus 로고    scopus 로고
    • Competitive storage and commodity price dynamics
    • Deaton A, Laroque G. 1996. Competitive storage and commodity price dynamics. J. Polit. Econ. 104:896-923 (Pubitemid 126552025)
    • (1996) Journal of Political Economy , vol.104 , Issue.5 , pp. 896-923
    • Deaton, A.1    Laroque, G.2
  • 16
    • 84963034558 scopus 로고
    • On the behavior of commodity prices
    • Deaton A, Laroque G. 1992. On the behavior of commodity prices. Rev. Econ. Stud. 59:1-23
    • (1992) Rev. Econ. Stud , vol.59 , pp. 1-23
    • Deaton, A.1    Laroque, G.2
  • 17
    • 84882318911 scopus 로고    scopus 로고
    • An anatomy of commodity futures returns: Time-varying risk premiums
    • Tilburg Univ
    • De Roon F, Nijman T, Szymanowska M, Goorbergh R. 2009. An anatomy of commodity futures returns: Time-varying risk premiums. Work. Pap., Tilburg Univ
    • (2009) Work. Pap
    • De Roon, F.1    Nijman, T.2    Szymanowska, M.3    Goorbergh, R.4
  • 18
    • 0039002155 scopus 로고    scopus 로고
    • Hedging pressure effects in futures markets
    • De Roon F, Nijman T, Veld C. 2000. Hedging pressure effects in futures markets. J. Finance 55:1437-56
    • (2000) J. Finance , vol.55 , pp. 1437-1456
    • De Roon, F.1    Nijman, T.2    Veld, C.3
  • 19
    • 84871257022 scopus 로고    scopus 로고
    • Using durable consumption risk to explain commodities returns
    • Harv. Univ
    • Dhume D. 2010. Using durable consumption risk to explain commodities returns.Work. Pap.,Harv. Univ
    • (2010) Work Pap
    • Dhume, D.1
  • 20
    • 84882356137 scopus 로고    scopus 로고
    • The convenience yield and risk premia of storage
    • Univ. West. Ont
    • Dincerler C, Khoker Z, Simin T. 2004. The convenience yield and risk premia of storage. Work. Pap.,Univ. West. Ont
    • (2004) Work. Pap
    • Dincerler, C.1    Khoker, Z.2    Simin, T.3
  • 22
    • 0000914425 scopus 로고
    • Futures trading and investor returns: An investigation of commodity market risk premiums
    • Dusak K. 1973. Futures trading and investor returns: An investigation of commodity market risk premiums. J. Polit. Econ. 81:1387-406
    • (1973) J. Polit. Econ , vol.81 , pp. 1387-1406
    • Dusak, K.1
  • 23
    • 0141942622 scopus 로고    scopus 로고
    • Who Trades Futures and How: Evidence from the Heating Oil Futures Market
    • DOI 10.1086/338706
    • Ederington L, Lee J. 2002. Who trades futures and how: Evidence from the heating oil futures market. J. Bus. 75:353-73 (Pubitemid 37239348)
    • (2002) Journal of Business , vol.75 , Issue.2 , pp. 353-373
    • Ederington, L.1    Lee, J.H.2
  • 24
    • 33646387170 scopus 로고    scopus 로고
    • The strategic and tactical value of commodity futures
    • DOI 10.2469/faj.v62.n2.4084
    • Erb C, Harvey C. 2006. The strategic and tactical value of commodity futures. Financ. Anal. J. 62:69-97 (Pubitemid 43678545)
    • (2006) Financial Analysts Journal , vol.62 , Issue.2 , pp. 69-97
    • Erb, C.B.1    Harvey, C.R.2
  • 25
    • 84871182699 scopus 로고    scopus 로고
    • Broker dealer risk appetite and commodity returns
    • Etula E. 2009. Broker dealer risk appetite and commodity returns. FRBNY Staff Rep. 408. http://www.newyorkfed.org/research/staff-reports/sr406.pdf
    • (2009) FRBNY Staff Rep , vol.408
    • Etula, E.1
  • 26
    • 0002753132 scopus 로고
    • Commodity futures prices: Some evidence on forecast power, premiums,and the theory of storage
    • Fama E, French K. 1987. Commodity futures prices: Some evidence on forecast power, premiums,and the theory of storage. J. Bus. 60:55-73
    • (1987) J. Bus , vol.60 , pp. 55-73
    • Fama, E.1    French, K.2
  • 27
    • 84977703346 scopus 로고
    • Business cycles and the behavior of metals prices
    • Fama E, French K. 1988. Business cycles and the behavior of metals prices. J. Finance 43:1075-93
    • (1988) J. Finance , vol.43 , pp. 1075-1093
    • Fama, E.1    French, K.2
  • 28
    • 0000928969 scopus 로고
    • Risk, return, and equilibrium: Empirical tests
    • Fama E, MacBeth J. 1973. Risk, return, and equilibrium: Empirical tests. J. Polit. Econ. 81:607-37
    • (1973) J. Polit. Econ , vol.81 , pp. 607-637
    • Fama, E.1    MacBeth, J.2
  • 29
  • 31
    • 33646397842 scopus 로고    scopus 로고
    • Facts and fantasies about commodity futures
    • DOI 10.2469/faj.v62.n2.4083
    • Gorton G, Rouwenhorst K. 2006. Facts and fantasies about commodity futures. Financ. Anal. J. 62:47-68 (Pubitemid 43678544)
    • (2006) Financial Analysts Journal , vol.62 , Issue.2 , pp. 47-68
    • Gorton, G.1    Geert Rouwenhorst, K.2
  • 32
    • 34247358146 scopus 로고
    • Onion revisited
    • Gray R. 1963. Onion revisited. J. Farm Econ. 45:273-76
    • (1963) J. Farm Econ , vol.45 , pp. 273-276
    • Gray, R.1
  • 33
    • 84928457211 scopus 로고
    • Returns to individual traders of futures: Aggregate results
    • Hartzmark M. 1987. Returns to individual traders of futures: Aggregate results. J. Polit. Econ. 95:1292-306
    • (1987) J. Polit. Econ , vol.95 , pp. 1292-1306
    • Hartzmark, M.1
  • 34
    • 0001309573 scopus 로고
    • On market timing and investment performance, II Statistical procedures for evaluating forecasting skills
    • Henriksson R, Merton R. 1981. On market timing and investment performance, II. Statistical procedures for evaluating forecasting skills. J. Bus. 54:513-33
    • (1981) J. Bus , vol.54 , pp. 513-533
    • Henriksson, R.1    Merton, R.2
  • 36
    • 0000056303 scopus 로고
    • Residual risk, trading costs and commodity futures risk premia
    • Hirshleifer D. 1988. Residual risk, trading costs and commodity futures risk premia. Rev. Financ. Stud. 1:173-93
    • (1988) Rev. Financ. Stud , vol.1 , pp. 173-193
    • Hirshleifer, D.1
  • 37
    • 84882370955 scopus 로고    scopus 로고
    • Commodity market interest and asset return predictability
    • Princeton Univ
    • Hong H, Yogo M. 2010. Commodity market interest and asset return predictability. Work. Pap.,Princeton Univ
    • (2010) Work. Pap
    • Hong, H.1    Yogo, M.2
  • 38
    • 0013678903 scopus 로고
    • Can speculators forecast prices?
    • Houthakker H. 1957. Can speculators forecast prices? Rev. Econ. Stat. 39:143-51
    • (1957) Rev Econ. Stat , vol.39 , pp. 143-151
    • Houthakker, H.1
  • 40
    • 74349102971 scopus 로고    scopus 로고
    • Devil or angel? The role of speculation in the recent commodity price boom (and bust
    • Irwin S, Sanders D, Merrin R. 2009. Devil or angel? The role of speculation in the recent commodity price boom (and bust). J. Agric. Appl. Econ. 4:377-91
    • (2009) J. Agric. Appl. Econ , vol.4 , pp. 377-391
    • Irwin, S.1    Sanders, D.2    Merrin, R.3
  • 41
    • 71149101788 scopus 로고
    • Speculation and economic stability
    • Kaldor N. 1939. Speculation and economic stability. Rev. Econ. Stud. 7:1-27
    • (1939) Rev. Econ. Stud , vol.7 , pp. 1-27
    • Kaldor, N.1
  • 42
    • 0345570244 scopus 로고
    • Some aspects of commodity markets
    • Keynes J. 1923. Some aspects of commodity markets. Manch. Guard. Commer. 13:784-86
    • (1923) Manch. Guard. Commer , vol.13 , pp. 784-786
    • Keynes, J.1
  • 43
    • 0010784141 scopus 로고
    • Is normal backwardation normal?
    • Kolb R. 1992. Is normal backwardation normal? J. Futures Mark. 12:75-90
    • (1992) J. Futures Mark , vol.12 , pp. 75-90
    • Kolb, R.1
  • 44
    • 55349083063 scopus 로고    scopus 로고
    • Testimony before the committee on homeland security and governmental affairs
    • May 20, Washington, DC.
    • Masters M. 2008. Testimony before the Committee on Homeland Security and Governmental Affairs. Presented at hearing for Financ. Specul. Commod. Mark., May 20, Washington, DC. http://www.hsgac.senate.gov/hearings/financial- speculation-in-commodity-markets-Are-institutional-investorsand-hedge-funds- contributing-To-food-And-energy-price-inflation
    • (2008) Presented at hearing for Financ. Specul. Commod. Mark
    • Masters, M.1
  • 45
    • 84882443740 scopus 로고    scopus 로고
    • The accidental hunt brothers: How institutional investors are driving up food and energy prices
    • Masters M, White A. 2008. The accidental Hunt Brothers: How institutional investors are driving up food and energy prices. White Pap., Masters Cap. Manag./White Knight Res. Trad. http://www.loe.org/images/content/080919/Act1.pdf
    • (2008) White Pap., Masters Cap. Manag./White Knight Res. Trad
    • Masters, M.1    White, A.2
  • 46
    • 0001552793 scopus 로고
    • Non-marketable assets and capital market equilibrium under uncertainty
    • ed. M Jensen. New York Praeger
    • Mayers D. 1972. Non-marketable assets and capital market equilibrium under uncertainty. In Studies in the Theory of Capital Markets, ed. M Jensen, pp. 223-248. New York: Praeger
    • (1972) Studies in the Theory of Capital Markets , pp. 223-248
    • Mayers, D.1
  • 47
    • 34248208520 scopus 로고    scopus 로고
    • Momentum in commodity futures markets
    • Miffre J, Rallis G. 2007. Momentum in commodity futures markets. J. Bank. Finance 31:1863-86
    • (2007) J. Bank. Finance , vol.31 , pp. 1863-1886
    • Miffre, J.1    Rallis, G.2
  • 48
    • 84862328635 scopus 로고    scopus 로고
    • Limits to arbitrage and commodity index investments: Front-running the Goldman roll
    • Columbia Bus. Sch., NY
    • Mou Y. 2010. Limits to arbitrage and commodity index investments: Front-running the Goldman roll. Tech. Rep., Columbia Bus. Sch., NY
    • (2010) Tech. Rep
    • Mou, Y.1
  • 49
    • 21344484911 scopus 로고
    • Fundamentals and volatility: Storage, spreads, and the dynamics of metals prices
    • Ng V, Pirrong S. 1994. Fundamentals and volatility: Storage, spreads, and the dynamics of metals prices. J. Bus. 67:203-30
    • (1994) J. Bus , vol.67 , pp. 203-230
    • Ng, V.1    Pirrong, S.2
  • 50
    • 85077374580 scopus 로고
    • Inventories and the short-run dynamics of commodity prices
    • Pindyck R. 1994. Inventories and the short-run dynamics of commodity prices. Rand J. Econ. 25:141-59
    • (1994) Rand J. Econ , vol.25 , pp. 141-159
    • Pindyck, R.1
  • 52
    • 0013637514 scopus 로고
    • Normal backwardation, forecasting and the returns to commodity futures traders
    • Rockwell C. 1967. Normal backwardation, forecasting and the returns to commodity futures traders. Food Res. Inst. Stud. 7:107-30
    • (1967) Food Res. Inst. Stud , vol.7 , pp. 107-130
    • Rockwell, C.1
  • 53
    • 0039594868 scopus 로고    scopus 로고
    • Equilibrium forward curves for commodities
    • Routledge B, Seppi D, Spatt C. 2000. Equilibrium forward curves for commodities. J. Finance 55:1297-338
    • (2000) J. Finance , vol.55 , pp. 1297-1338
    • Routledge, B.1    Seppi, D.2    Spatt, C.3
  • 54
    • 79960188945 scopus 로고    scopus 로고
    • New evidence on the impact of index funds in U.S grain futures markets
    • Sanders D, Irwin S. 2011a. New evidence on the impact of index funds in U.S. grain futures markets. Can. J. Agric. Econ. 59(4):519-32
    • (2011) Can. J. Agric. Econ , vol.59 , Issue.4 , pp. 519-532
    • Sanders, D.1    Irwin, S.2
  • 55
    • 79960198398 scopus 로고    scopus 로고
    • The impact of index funds in commodity futures markets: A systems approach
    • Sanders D, Irwin S. 2011b. The impact of index funds in commodity futures markets: A systems approach. J. Altern. Invest. 14(1):40-49
    • (2011) J. Altern. Invest , vol.14 , Issue.1 , pp. 40-49
    • Sanders, D.1    Irwin, S.2
  • 56
    • 2942736903 scopus 로고    scopus 로고
    • Hedgers, funds, and small speculators in the energy futures markets: An analysis of the CFTC's Commitments of Traders reports
    • DOI 10.1016/j.eneco.2004.04.010, PII S0140988304000209
    • Sanders D, Boris K, Manfredo M. 2004. Hedgers, funds, and small speculators in the energy futures markets: An analysis of the CFTC's Commitments of Traders reports. Energy Econ. 26:425-45 (Pubitemid 38800852)
    • (2004) Energy Economics , vol.26 , Issue.3 , pp. 425-445
    • Sanders, D.R.1    Boris, K.2    Manfredo, M.3
  • 57
    • 44349090945 scopus 로고    scopus 로고
    • An examination of momentum strategies in commodity futures markets
    • Shen Q, Szakmary A, Sharma S. 2007. An examination of momentum strategies in commodity futures markets. J. Futures Mark. 26:227-56
    • (2007) J. Futures Mark , vol.26 , pp. 227-256
    • Shen, Q.1    Szakmary, A.2    Sharma, S.3
  • 58
    • 80052195124 scopus 로고    scopus 로고
    • Investor flows and the 2008 boom/bust in oil prices
    • Stanford Univ
    • Singleton K. 2011. Investor flows and the 2008 boom/bust in oil prices. Work. Pap., Stanford Univ
    • (2011) Work. Pap
    • Singleton, K.1
  • 59
    • 79952580342 scopus 로고    scopus 로고
    • Commodity index investing and commodity futures prices
    • Stoll H, Whaley R. 2010. Commodity index investing and commodity futures prices. J. Appl. Finance 20:7-46
    • (2010) J. Appl. Finance , vol.20 , pp. 7-46
    • Stoll, H.1    Whaley, R.2
  • 60
    • 77956269993 scopus 로고    scopus 로고
    • Index investment and financialization of commodities
    • Princeton Univ
    • Tang K, Xiong W. 2010. Index investment and financialization of commodities. Work. Pap.,Princeton Univ
    • (2010) Work. Pap
    • Tang, K.1    Xiong, W.2
  • 61
    • 0000700938 scopus 로고
    • Futures trading and the storage of cotton and wheat
    • Telser L. 1958. Futures trading and the storage of cotton and wheat. J. Polit. Econ. 66:233-55
    • (1958) J. Polit. Econ , vol.66 , pp. 233-255
    • Telser, L.1
  • 62
    • 84882365344 scopus 로고    scopus 로고
    • Commodities trading
    • TheCity.U.K.
    • TheCityUK. 2011. Commodities trading. Financ. Mark. Ser. Mar.:1-12 http://www.thecityuk.com/assets/Uploads/Commodities-Trading-2011.pdf
    • (2011) Financ. Mark. Ser. Mar , pp. 1-12
  • 64
    • 0037211773 scopus 로고    scopus 로고
    • The behavior and performance of major types of futures traders
    • DOI 10.1002/fut.10056
    • Wang C. 2003. The behavior and performance of major types of futures traders. J. FuturesMark. 23:1-31 (Pubitemid 36891473)
    • (2003) Journal of Futures Markets , vol.23 , Issue.1 , pp. 1-31
    • Wang, C.1
  • 65
    • 0000641188 scopus 로고
    • The theory of the price of storage
    • Working H. 1949. The theory of the price of storage. Am. Econ. Rev. 39:1254-62
    • (1949) Am. Econ. Rev , vol.39 , pp. 1254-1262
    • Working, H.1
  • 66
    • 0040567325 scopus 로고
    • Price effects of futures trading
    • Working H. 1960. Price effects of futures trading. Food Res. Inst. Stud. 1:3-27
    • (1960) Food Res. Inst. Stud , vol.1 , pp. 3-27
    • Working, H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.