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Speculative Pressure

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 subsamples inter alia. We argue that there is an efficient hedgers-speculators risk transfer in commodity, currency and equity index futures markets.
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Submitted on : Friday, March 6, 2020 - 12:43:08 PM
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John Hua, Adrian Fernandez-Perez, Ana-Maria Fuertes, Joelle Miffre. Speculative Pressure. Journal of Futures Markets, 2020. ⟨hal-02500777⟩

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