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Finance and Economics Discussion Series: Commodity Index Trading and Hedging Costs - Tapa blanda

Brunetti, Celso; Reiffen, David

 
9781288697700: Finance and Economics Discussion Series: Commodity Index Trading and Hedging Costs
Tapa blanda
ISBN 10: 1288697708 ISBN 13: 9781288697700
Editorial: BiblioGov, 2013

Sinopsis

Trading by commodity index traders (CITs) has become an important aspect of financial markets over the past 10 years. We develop an equilibrium model of trader behavior that relates uninformed CIT trading to futures prices. The model predicts that CIT trading reduces the cost of hedging. We test the model using a unique non-public dataset which precisely identifies trader positions. We find evidence, consistent with the model, that index traders have become an important supply of price risk insurance.

"Sinopsis" puede pertenecer a otra edición de este libro.

Reseña del editor

Trading by commodity index traders (CITs) has become an important aspect of financial markets over the past 10 years. We develop an equilibrium model of trader behavior that relates uninformed CIT trading to futures prices. The model predicts that CIT trading reduces the cost of hedging. We test the model using a unique non-public dataset which precisely identifies trader positions. We find evidence, consistent with the model, that index traders have become an important supply of price risk insurance.

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
BiblioGov
Año de publicación
2013
Idioma
Inglés
ISBN 10 
1288697708
ISBN 13 
9781288697700
Encuadernación
Tapa blanda
Número de páginas
44
Contacto del fabricante
no disponible
Persona responsable
no disponible