Xu, Helen; Lin, Eric C.; Kensinger, John W. - In: Research in finance, (pp. 103-118). 2014
The issue of risk premium in commodity futures market has long been examined since Keynes’ (1930) normal backwardation hypothesis. We further examine the normal backwardation hypothesis in the gold futures market, using a Goldman Sachs Commodity Index (GSCI) approach. We find no evidence that...