Consumption Betas and Backwardation in Commodity Markets

  • Author(s): ROBERT H. LITZENBERGER, THOMAS B. HAZUKA
  • Published: Apr 30, 2012
  • Pages: 647-655
  • DOI: 10.1111/j.1540-6261.1984.tb03653.x

ABSTRACT

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.

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