Financialization and speculators risk premia in commodity futures markets
研究了商品期货市场金融化前后投机者风险溢价的变化，发现近年管理期货回报不佳可能是金融化及外部资金抑制了期货风险溢价所致。
J.M. Keynes coined the term normal backwardation, a situation where a futures price for a particular expiry month is less than the expected spot price for that month. He argued hedgers pay speculators a risk premium, giving rise to normal backwardation. We study the behavior of commodity futures before and since financialization of the markets, which started about 20 years ago. We find the poor returns to managed futures in recent years are likely due to the impact of financialization and the associated outside money suppressing the futures risk premium.