Do Roll Returns Really Exist? An Analysis of the S&P GSCI

Paul E. Peterson

No 285790, 2013 Conference, April 22-23, 2013, St. Louis, Missouri from NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: Roll returns for the S&P GSCI commodity index are analyzed using index calculation procedures for the S&P 500 stock market index. S&P GSCI daily index values are calculated and validated against the official index values for the five-year period January 2007-December 2011. Index values are then calculated using divisor adjustment methods for the S&P 500. Roll returns are found to be caused by the unique index calculation procedures used by the S&P GSCI during roll periods.

Keywords: Marketing (search for similar items in EconPapers)
Date: 2013-04
References: Add references at CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/285790/files/Peterson_NCCC-134_2013.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:n13413:285790

DOI: 10.22004/ag.econ.285790

Access Statistics for this paper

More papers in 2013 Conference, April 22-23, 2013, St. Louis, Missouri from NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management
Bibliographic data for series maintained by AgEcon Search ().