Commodity Literature DB

Review of Financial Studies

• Real Effects of Centralized Markets: Evidence from Steel Futures, by Thorsten Martin.

Review of Finance

• What Drives Commodity Price Variation?, by Meng Han, Lammertjan Dam, Walter Pohl, 29(2), pp. 315-347.

Management Science

• Financialization and Commodity Markets Serial Dependence, by Zhi Da, Ke Tang, Yubo Tao, and Liyan Yang, 70(4), pp. 2122-2143.

Journal of Finance

• Commodity Financialization and Information Transmission, by Itay Goldstein and Liyan Yang, 77(5), pp. 2613-2667.

Review of Financial Studies

• Order Flows and Financial Investor Impacts in Commodity Futures Markets, by Mark J Ready and Robert C Ready, 35(10), pp. 4712-4755.

Management Science

• The Financialization of Storable Commodities, by Steven D. Baker, 67(1), pp. 471-499.

Journal of Finance

• A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets, by Wenjin Kang, K Geert Rouwenhorst, and Ke Tang, 75(1), pp. 377-417.

American Economic Review

• Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks, by Christiane Baumeister and James D. Hamilton, 109(5), pp. 1873-1910.

Review of Financial Studies

• The Economic Impact of Index Investing by Jonathan Brogaard, Matthew C Ringgenberg, David Sovich, 32(9), pp. 3461–3499.

Journal of Financial Economics

• Gold, platinum, and expected stock returns, by Darien Huang and Mete Kilic, 132(3), pp. 50-75.

Journal of Financial and Quantitative Analysis

• Factor Structure in Commodity Futures Return and Volatility, by Peter Christoffersen, Asger Lunde, and Kasper V. Olesen, 54(3), pp. 1083-1115.

Journal of Financial Economics

• Carry, by Ralph S.J. Koijen, Tobias J. Moskowitz, Lasse Heje Pedersen, and Evert B. Vrugt, 127(2), pp. 197-225.

Review of Finance

• Futures Trading and the Excess Co-movement of Commodity Prices, by Yannick Le Pen, Benoît Sévi, 22(1), pp. 381-418.

Journal of Finance

• Commodity Trade and the Carry Trade: A Tale of Two Countries, by Robert Ready, Nikolai Roussanov, and Colin Ward, 72(6), pp. 2629-2684.

Review of Financial Studies

• The Information Content of a Nonlinear Macro-Finance Model for Commodity Prices, by Saqib Khan, Zeigham Khokher, and Timothy Simin, 30(8), pp. 2818-2850. Corrigendum

Management Science

• Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns, by Gurdip Bakshi, Xiaohui Gao, and Alberto G Rossi, 65(2), pp. 619-641.

Journal of Finance

• A Model of Financialization of Commodities, by Suleyman Basak and Anna Pavlova, 71(4), pp. 1511-1556

Review of Financial Studies

• Commodities as Collateral, by Ke Tang, Haoxiang Zhu, 29(8), pp. 2110-2160.

Review of Finance

• Commodity Markets, Long-Run Predictability, and Intertemporal Pricing, by Adrian Fernandez-Perez, Ana-Maria Fuertes, and Joelle Miffre, 21(3), pp. 1159-1188.

Journal of Finance

• Informational Frictions and Commodity Markets, by Michael Sockin and Wei Xiong, 70(5), pp. 2063-2098.

Review of Financial Studies

• New evidence on the financialization of commodity markets, by Brian J. Henderson, Neil D. Pearson, and Li Wang, 28(5), pp. 1285-1311.

Review of Finance

• Convective Risk Flows in Commodity Futures Markets, by Ing-Haw Cheng, Andrei Kirilenko, and Wei Xiong, 19(5), pp. 1733-1781.

Journal of Finance

• An Anatomy of Commodity Futures Risk Premia, by Marta Szymanowska, Frank De Roon, Theo Nijman, and Rob Van Den Goorbergh, 69(1), pp. 453-482.

Review of Financial Studies

• Speculation and Hedging in Segmented Markets, by Itay Goldstein, Yan Li, and Liyan Yang, 27(3), pp. 881-922.

• Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors, by Geetesh Bhardwaj, Gary B. Gorton, and K. Geert Rouwenhorst, 27(11), pp. 3099-3132.

Journal of Finance

• Value and Momentum Everywhere, by Clifford S Asness, Tobias J Moskowitz, and Lasse Heje Pedersen, 68(3), pp. 929-985.

Review of Financial Studies

• Economic Linkages, Relative Scarcity, and Commodity Futures Returns, by Jaime Casassus, Peng Liu, and Ke Tang, 26(5), pp. 1324-1362.

• Determinants of Trader Profits in Commodity Futures Markets, by Michaël Dewally, Louis H. Ederington, and Chitru S. Fernando, 26(10), pp. 2648-2683.

Journal of Financial Economics

• Investment shocks and the commodity basis spread, by Fan Yang, 110(1), pp. 164-184.

• Limits to arbitrage and hedging: Evidence from commodity markets, Viral V. Acharya, Lars A. Lochstoer, and Tarun Ramadorai, 109(2), pp. 441-465.

Review of Finance

• The Fundamentals of Commodity Futures Returns, by Gary B. Gorton, Fumio Hayashi, K. Geert Rouwenhorst, 17(1), pp. 35-105.

Management Science

• Investor Flows and the 2008 Boom/Bust in Oil Prices, by Kenneth J Singleton, 60(2), pp. 300-318.

Review of Financial Studies

• Commodity Liquidity Measurement and Transaction Costs, by Ben R Marshall, Nhut H Nguyen, and Nuttawat Visaltanachoti, 25(2), pp. 599-638.

Journal of Financial Economics

• What does futures market interest tell us about the macroeconomy and asset prices?, by Harrison Hong and Motohiro Yogo, 105(3), pp. 473-490.

Quarterly Journal of Economics

• Can Exchange Rates Forecast Commodity Prices?, by Yu-Chin Chen, Kenneth S. Rogoff, and Barbara Rossi, 125(3), 1145-1194.

American Economic Review

• Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market, by Lutz Kilian, 99(3), pp. 1053-1069.

Journal of Finance

• Oil Futures Prices in a Production Economy with Investment Constraints, by Leonid Kogan, Dmitry Livdan, and Amir Yaron, 64(3), pp. 1345-1375.

Review of FInancial Studies

• Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives, by Anders B. Trolle and Eduardo S. Schwartz, 22(11), pp. 4423-4461.

Journal of Finance

• Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates, by Jaime Casassus and Pierre Collin-Dufresne, 60(5), pp. 2283-2331.

Journal of Finance

• Equilibrium Forward Curves for Commodities, by Bryan R. Routledge, Duane J. Seppi, and Chester S. Spatt, 55(3), pp. 1297-1338.

• Hedging Pressure Effects in Futures Markets, by Frans A. De Roon, Theo E. Nijman, and Chris Veld, 55(3), pp. 1437-1456.

Management Science

• Short-Term Variations and Long-Term Dynamics in Commodity Prices, by Eduardo Schwartz and James E. Smith, 46(7), pp. 893-911.

Review of Financial Studies

• Hedging Long-Term Exposures with Multiple Short-Term Futures Contracts, by Anthony Neuberger, 12(3), pp. 429-459.

Journal of Finance

• The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging, by Eduardo S Schwartz, 53(3), pp. 923-973.

Journal of Political Economy

• Competitive Storage and Commodity Price Dynamics, by Angus Deaton and Guy Laroque, 104(5), pp. 896-923.

Journal of Finance

• Backwardation in Oil Futures Markets: Theory and Empirical Evidence, by Robert H Litzenberger and Nur Rabinowitz, 50(5), pp. 1517-1545.

Review of Financial Studies

• Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets, by Hendrik Bessembinder, 5(4), pp. 637-667.

Econometrica

• Hedging Pressure and Futures Price Movements in a General Equilibrium Model, by David Hirshleifer, 58(2), pp. 411-428.

Journal of Political Economy

• Risk, Futures Pricing, and the Organization of Production in Commodity Markets, by David Hirshleifer, 96(6), pp. 1206-1220.

Review of Financial Studies

• Residual Risk, Trading Costs, and Commodity Futures Risk Premia, by David Hirshleifer, 1(2), pp. 173-193.

Management Science

• Options on Commodity Forward Contracts, by Edward O Thorp, 31(10), pp. 1232-1236.

Econometrica

• The Determination of Spot and Futures Prices with Storable Commodities, by Stephen J Turnovsky, 51(5), pp. 1363-1387.

Journal of Financial Economics

• The Pricing of Commodity Contracts, by Fischer Black, 3(1-2), pp. 167-179.

Journal of Finance

• Temporal Price Behavior in Commodity Futures Markets, by Thomas F Cargill and Gordon C Rausser, 30(4), pp. 1043-1053.

Journal of Political Economy

• Returns to Speculators: Telser versus Keynes, by Paul H. Cootner, 68(4), pp. 396-404.

Journal of Political Economy

• Futures Trading and the Storage of Cotton and Wheat, by Lester G Telser, 66(3), pp. 233-255.