Speculative Pressure
By John Hua Fan, Ph.D., Griffith Business School, Australia; Adrian Fernandez-Perez, Ph.D., Auckland University of Technology, New Zealand; Ana-Maria Fuertes, Ph.D., Cass Business School, City, University of London, U.K.; and Joëlle Miffre, Ph.D., Audencia Business School, Nantes, France
As summarized by Ana-Maria Fuertes, Ph.D., Professor in Finance and Econometrics, Cass Business School, City, University of London, U.K. and Member of the GCARD’s Editorial Advisory Board
This digest article examines the information content of futures markets speculators’ net positions. The article shows that long-short portfolios based on speculative pressure capture attractive premia in commodity, equity and currency futures markets. The thus formed speculative pressure factors are able to explain the cross-section variation in futures returns after controlling for tradeable (carry, momentum and value) factors and non-tradeable global macroeconomic factors.
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