Consumption Betas and Backwardation in Commodity Markets
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- Author(s): ROBERT H. LITZENBERGER, THOMAS B. HAZUKA
- Published: Apr 30, 2012
- Pages: 647-655
- DOI: 10.1111/j.1540-6261.1984.tb03653.x
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.