1 论文标题A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets

2 作者信息
Wenjin KangK. Geert Rouwenhorst
Ke Tang
3 出处和链接（比如，NBER working paper No.11000）
https://onlinelibrary.wiley.com/doi/abs/10.1111/jofi.12845
4 摘要
This paper studies the dynamic interaction between the net positions of traders and risk premiums in commodity futures markets. Short‐term position changes are driven mainly by the liquidity demands of noncommercial traders, while long‐term variation is driven primarily by the hedging demands of commercial traders. These two components influence expected futures returns with opposite signs. The gains from providing liquidity by commercials largely offset the premium they pay for obtaining price insurance.