This paper develops a new methodology to estimate oil ETF returns using WTI futures prices and analysts’ forecasts. Futures prices are obtained from the New York Mercantile Exchange, and analysts’ forecasts from Bloomberg and the U.S. Energy Information Administration.We use the United...

For quite some time long-only index funds have been suspected of being responsible for price increases in agricultural futures markets. This suspicion has prompted demands to drastically limit long-only index funds' scope of activity. Such demands and their underlying diagnoses, however,...

Um es gleich vorweg zu nehmen, Warenterminmärkte dienen Landwirten und Landhändlern keineswegs, wie gemeinhin angenommen, primär zur Absicherung von Kassapreis- und Basisrisiko. Sie eröffnen vielmehr Einkommenschancen durch Lagerhaltung und gewährleisten deren Profitabilität. Die in der...

First things first-contrary to popular opinion, the main reason farmers and grain traders use futures markets is not to hedge spot price and basis risks, but to ensure the profitability of the storage business. The scientific literature mainly discusses the minimum variance hedge ratio, which...