Premium
Consumption Betas and Backwardation in Commodity Markets
Author(s) -
HAZUKA THOMAS B.
Publication year - 1984
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.1984.tb03653.x
Subject(s) - futures contract , normal backwardation , economics , consumption (sociology) , commodity , contango , capital asset pricing model , econometrics , spot contract , financial economics , finance , social science , sociology
This paper examines the relationship between commodity consumption betas and realized commodity futures contract risk premiums. A linear relationship between risk premiums and consumption betas is developed based on a consumption oriented CAPM. The parameters of this linear model are estimated using fourteen commodities.