Basu, Devraj; Miffre, Joëlle - In: Journal of Banking & Finance 37 (2013) 7, pp. 2652-2664
We construct long–short factor mimicking portfolios that capture the hedging pressure risk premium of commodity futures. We consider single sorts based on the open interests of hedgers or speculators, as well as double sorts based on both positions. The long–short hedging pressure portfolios...