The Information in the Term Structure of Commodity Futures

22 Pages Posted: 10 Jan 2012

See all articles by Denis B. Chaves

Denis B. Chaves

The Capital Group Companies

Vitali Kalesnik

Research Affiliates Global Advisors

Bryce Little

Citadel LLC

Date Written: December 14, 2011

Abstract

This article uses the Expectations Hypothesis (EH), one of the oldest theories in finance, to extract the information contained in the term structure of commodity futures prices. Under the powerful framework provided by the EH, we find a significant amount of predictability in commodity futures yields, but little evidence of time-varying expected roll returns. Our results suggest that investors in futures markets can predict changes in fundamental measures of commodities — such as inventories, supply, or demand — well in advance.

Keywords: commodities, futures, expectations hypothesis, term structure

Suggested Citation

Chaves, Denis Biangolino and Kalesnik, Vitali and Little, Bryce, The Information in the Term Structure of Commodity Futures (December 14, 2011). Available at SSRN: https://ssrn.com/abstract=1982200 or http://dx.doi.org/10.2139/ssrn.1982200

Denis Biangolino Chaves (Contact Author)

The Capital Group Companies ( email )

333 S. Hope Street, 53rd Floor
Los Angeles, CA 90071
United States

Vitali Kalesnik

Research Affiliates Global Advisors ( email )

16 Berkeley Street
London, W1J 8DZ
United Kingdom
+44 2039299880 (Phone)

HOME PAGE: http://https://www.researchaffiliates.com/en_us/home.html

Bryce Little

Citadel LLC ( email )

New York, NY
United States

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