The Journal Of Futures Markets – What is Smart Money? How information is priced in the commodity futures market in the cross-section of stock returns with lags.
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The Journal Of Futures Markets
We document a new empirical trend whereby the aggregate positions of money managers, experienced speculators, in the commodity futures market, as defined in traders’ commitment reports, cross-section the stock returns of commodity producers in the next week. can predict . We use a number of cross-sectional methods, including calendar time regression analysis, single count, double count, and Fama Macbeth regressions, to confirm the prediction results. The results are most pronounced in companies with high information heterogeneity. We thus add further empirical evidence to the literature on costly information processing, gradually disseminating information to asset markets.
Commodity Futures Trading Commission
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© Author(s), 2023. Published by University Press on behalf of the Michael G. Foster School of Business, University of Washington
We have greatly benefited from the comments of Hendrik Pacembender (Editor) and Neil Pearson (Referee). We are indebted to Brian Henderson (discussion) as well as participants at the 2019 AFA Annual Meeting in Atlanta for insight. We are also grateful to Almanis Zaldukas (discussion) and symposium participants at the Paris Winter 2018 conference. We also thank Gang Li (moderator) and the audience at SFS Cavalcade Asia-Pacific 2019, and the symposium participants at Queen’s University, Univ. Guelph and the University of Nottingham for helpful input. We are Patrick Bolton, Paul Caluzzo, Seung Chang, Daniel Chi, David Feldman, Anna Maria Fuertes, Louis Gagnon, Lawrence Gloston, Matthew Gomez, Lars Peter Hansen, Robert Hodrick, Harrison Hong, Melvin Jameson, Wei Jiang, Michael Johannes, Harry Ka. Thank you. Mamaisky for comments and suggestions.
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