Is There Smart Money? How Information in the Commodity Futures Market Is Priced into the Cross Section of Stock Returns with Delay
研究发现，商品期货市场中专业投机者（资金管理者）的总体持仓能预测相关生产商股票下周的横截面收益，且信息不对称高的公司预测效果更强，支持了信息缓慢跨市场扩散的观点。
Abstract We document a new empirical phenomenon in which the aggregate positions of money managers, who are sophisticated speculators in the commodity futures market, as disclosed by the Disaggregated Commitments of Traders reports, can predict the cross section of commodity producers’ stock returns in the subsequent week. We employ a number of cross-sectional methods, including calendar-time regression analysis, single-sort, double-sort, and Fama–MacBeth regressions, to confirm the predictability results. The results are more pronounced in firms with higher information asymmetry. We thus add more empirical evidence to the literature on costly information processing, which leads to gradual information diffusion across asset markets.