Y. Amihud, H. Mendelson, and B. Lauterbach, Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange, Journal of Financial Economics, vol.45, pp.365-390, 1997.

C. Asness, T. Moskowitz, and L. Pedersen, Value and momentum everywhere, Journal of Finance, vol.68, pp.929-985, 2013.

D. Basu and J. Miffre, Capturing the risk premium of commodity futures: The role of hedging pressure, Journal of Banking and Finance, vol.37, pp.2652-2664, 2013.

H. Bessembinder, Systematic risk, hedging pressure, and risk premiums in futures markets, Review of Financial Studies, vol.5, pp.637-667, 1992.

G. Bhardwaj, G. Gorton, and K. G. Rouwenhorst, You can fool some of the people all of the time: The inefficient performance of commodity trading advisors, Review of Financial Studies, vol.27, pp.3099-3132, 2014.

&. Campbell and . Company, Prospects for CTAs in a rising interest rates environment. Campbell White Paper Series, 2013.

E. Chang, Return to speculators and the theory of normal backwardation, Journal of Finance, vol.40, pp.193-208, 1985.

P. Cootner, Returns to speculators: Telser vs. Keynes, Journal of Political Economy, vol.68, pp.396-404, 1960.

P. Cootner, Speculation and hedging, Food Research Institute Studies, vol.7, pp.65-103, 1967.

C. Daskalaki, A. Kostakis, and G. Skiadopoulos, Are there common factors in individual commodity futures returns?, Journal of Banking and Finance, vol.40, pp.346-363, 2014.

F. A. De-roon, T. E. Nijman, and C. Veld, Hedging pressure effects in futures markets, Journal of Finance, vol.55, pp.1437-1456, 2000.

M. Dewally, L. Ederington, and C. Fernando, Determinants of trader profits in commodity futures markets, Review of Financial Studies, vol.26, pp.2648-2683, 2013.

E. F. Fama, Forward and spot exchange rates, Journal of Monetary Economics, vol.14, pp.319-338, 1984.

E. F. Fama and J. D. Macbeth, Risk, returns, and equilibrium: Empirical tests, Journal of Political Economy, vol.81, pp.607-636, 1973.

B. Fattouh, L. Kilian, and L. Mahadeva, The role of speculation in oil markets: What have we learned so far?, Energy Journal, vol.34, pp.7-33, 2013.

G. Gorton, F. Hayashi, and G. Rouwenhorst, The fundamentals of commodity futures returns, Review of Finance, vol.17, pp.35-105, 2013.

J. R. Hicks, Value and Capital, 1939.

D. Hirshleifer, Residual risk, trading costs, and commodity futures risk premia, Review of Financial Studies, vol.1, pp.173-193, 1988.

D. Hirshleifer, Determinants of hedging and risk premia in commodity futures markets, Journal of Financial and Quantitative Analysis, vol.24, pp.313-331, 1989.

S. Irwin, D. Sanders, and R. Merrin, Devil or angel? The role of speculation in the recent commodity price boom (and bust), Journal of Agricultural and Applied Economics, pp.377-391, 2009.

M. Jensen, The performance of mutual funds in the period 1945-1964, Journal of Finance, vol.23, pp.389-416, 1968.

N. Jegadeesh and S. Titman, Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance, vol.48, pp.65-91, 1993.

W. Kang, G. Rouwenhorst, and K. Tang, A tale of two premiums: The role of hedgers and speculators in commodity futures markets, Journal of Finance, 2019.

M. Keynes, A Treatise on Money II: The Applied Theory of Money. Edition, 1930.

R. Koijen, T. Moskowitz, L. Pedersen, and E. Vrugt, Carry. Journal of Financial Economics, vol.127, pp.197-225, 2018.

B. Malkiel, Returns from investing in equity mutual funds 1971 to 1991, Journal of Finance, vol.50, pp.549-572, 1995.

B. R. Marshall, N. H. Nguyen, and N. Visaltanachoti, Commodity liquidity measurement and transaction costs, Review of Financial Studies, vol.25, pp.599-638, 2012.

L. Menkhoff, L. Sarno, M. Schmeling, and A. Schrimpf, Currency momentum strategies, Journal of Financial Economics, vol.106, pp.620-684, 2012.

J. Miffre and G. Rallis, Momentum strategies in commodity futures markets, Journal of Banking and Finance, vol.31, pp.1863-1886, 2007.

T. J. Moskowitz, Y. Ooi, and L. H. Pedersen, Time series momentum, Journal of Financial Economics, vol.104, pp.228-250, 2012.

. K. Rouwenhorst and K. Tang, Commodity investing, Annual Review of Financial Economics, vol.4, pp.447-467, 2012.

J. Shanken, On the estimation of beta-pricing models, Review of Financial Studies, vol.5, pp.1-33, 1992.

H. Stoll and R. Whaley, Commodity index investing and commodity futures prices, Journal of Applied Finance, vol.20, pp.7-46, 2010.

M. Szymanowska, F. De-roon, T. Nijman, . Van-den, and R. Goorbergh, An anatomy of commodity futures risk premia, Journal of Finance, vol.69, pp.453-482, 2014.