EFFECTS OF INDEX‐FUND INVESTING ON COMMODITY FUTURES PRICES
研究通过期货套利模型检验指数基金持仓能否预测期货超额收益，发现农业合约无此效应，石油合约在2006-2009年有部分证据但样本外失效。
We develop a simple model of futures arbitrage that implies that if purchases by commodity index funds influence futures prices, then the notional positions of the index investors should help predict excess returns in these contracts. We find no evidence that the positions of index traders in agricultural contracts as identified by the Commodity Futures Trading Commission can help predict returns on the near futures contracts. Although there is some support that these positions might help predict changes in oil futures prices over 2006–2009, the relation breaks down out of sample.