Consumption Betas and Backwardation in Commodity Markets
基于消费资本资产定价模型，研究商品消费贝塔与期货合约风险溢价的关系，并用14种商品数据估计线性模型参数。
ABSTRACT This paper examines the relationship between commodity consumption betas and realized commodity futures contract risk premiums. A linear relationship between risk premiums and consumption betas is developed based on a consumption oriented CAPM. The parameters of this linear model are estimated using fourteen commodities.