Speculative pressure
研究了期货市场中投机压力的信息含量，发现按投机压力排序的多空组合在商品、货币和股票市场能获得显著溢价，但在固定收益市场不显著，且该风险在控制其他因素后仍被定价。
Abstract The paper investigates the information content of speculative pressure across futures classes. Long‐short portfolios of futures contracts sorted by speculative pressure capture a significant premium in commodity, currency, and equity markets but not in fixed income markets. Exposure to commodity, currency, and equity index futures’ speculative pressure is priced in the broad cross‐section after controlling for momentum, carry, global liquidity, and volatility risks. The findings are confirmed by robustness tests using alternative speculative pressure signals, portfolio construction techniques, and subperiods interalia. We argue that there is an efficient hedgers‐speculators risk transfer in commodity, currency, and equity index futures markets.