A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets
研究了商品期货市场中交易者净持仓与风险溢价的动态关系，发现短期持仓变化由非商业交易者的流动性需求驱动，长期则由商业交易者的套期保值需求驱动，两者对预期收益有相反影响。
ABSTRACT This paper studies the dynamic interaction between the net positions of traders and risk premiums in commodity futures markets. Short‐term position changes are driven mainly by the liquidity demands of noncommercial traders, while long‐term variation is driven primarily by the hedging demands of commercial traders. These two components influence expected futures returns with opposite signs. The gains from providing liquidity by commercials largely offset the premium they pay for obtaining price insurance.