Capturing the risk premium of commodity futures: The role of hedging pressure-Reference-Cited by-同舟云学术

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Capturing the risk premium of commodity futures: The role of hedging pressure

Published:2013-07 Issue:7 Volume:37 Page:2652-2664
ISSN:0378-4266
Container-title:Journal of Banking & Finance
language:en
Short-container-title:Journal of Banking & Finance

Author:

Basu Devraj,Miffre Joëlle

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference45 articles.

1. Acharya, V., Lochstoer, L., Ramadorai, T., 2010. Does Hedging Affect Commodity Prices: The Role of Producer Default Risk. Working Paper, London Business School.

2. Asset pricing and the bid-ask spread;Amihud;Journal of Financial Economics,1986

3. Cross-hedging;Anderson;Journal of Political Economy,1981

4. A model of investor sentiment;Barberis;Journal of Financial Economics,1998

5. Systematic risk, hedging pressure and risk premiums in futures markets;Bessembinder;Review of Financial Studies,1992

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