John Hua Fan,
Ana‐Maria Fuertes and
Journal of Futures Markets, 2020, vol. 40, issue 4, 575-597
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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