Search Results - "Sanders, Dwight R."

Evaluating the USDA's Net Farm Income Forecast by Kuethe, Todd H., Hubbs, Todd, Sanders, Dwight R.

“…The USDA produces four forecasts of net farm income for each year; these forecasts are closely monitored by decision makers across the agricultural sector…”
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Testing the Masters Hypothesis in commodity futures markets by Irwin, Scott H., Sanders, Dwight R.

“…The ‘Masters Hypothesis’ is the claim that long-only index investment was a major driver of the 2007–2008 spike in commodity futures prices and energy futures…”
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Index Funds, Financialization, and Commodity Futures Markets by Irwin, Scott H., Sanders, Dwight R.

“…Some market participants and policy-makers believe that index fund investment was a major driver of the 2007-2008 spike in commodity futures prices. One group…”
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Smart money: The forecasting ability of CFTC large traders in agricultural futures markets by Sanders, Dwight R, Irwin, Scott H, Merrin, Robert P

“…The forecasting content of the Commodity Futures Trading Commission's Commitments of Traders (COT) report is investigated. Bivariate Granger causality tests…”
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The order flow cost of index rolling in commodity futures markets by Irwin, Scott H., Sanders, Dwight R., Yan, Lei

“…Commodity index rolling is treated as a natural experiment and an event study of order flow costs in a wide array of futures markets is conducted. The spread…”
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Mapping algorithms, agricultural futures, and the relationship between commodity investment flows and crude oil futures prices by Yan, Lei, Irwin, Scott H., Sanders, Dwight R.

“…Several studies employ mapping algorithms to infer index positions in WTI crude oil futures from positions in agricultural futures and report an economically…”
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Returns to Investing in Commodity Futures: Separating the Wheat from the Chaff by Irwin, Scott H., Sanders, Dwight R., Smith, Aaron, Main, Scott

“…Commodity futures investment grew rapidly after its popularity exploded in the mid‐2000s. However, real‐time performance has been disappointing. Our analysis…”
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Bubbles, Froth and Facts: Another Look at the Masters Hypothesis in Commodity Futures Markets by Sanders, Dwight R., Irwin, Scott H.

“…The Masters Hypothesis suggests that long‐only index funds were the main cause of a massive increase in commodity prices in 2007–2008 and 2011–2012. Central to…”
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A speculative bubble in commodity futures prices? Cross-sectional evidence by Sanders, Dwight R., Irwin, Scott H.

“…Recent accusations against speculators in general and long‐only commodity index funds in particular include: increasing market volatility, distorting…”
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Sunshine vs. predatory trading effects in commodity futures markets: New evidence from index rebalancing by Yan, Lei, Irwin, Scott H., Sanders, Dwight R.

“…Annual rebalancing of the S&P Goldman Sachs Commodity Index (S&P GSCI) provides a novel identification of the impact of predictable order flows from index…”
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The Adequacy of Speculation in Agricultural Futures Markets: Too Much of a Good Thing? by Sanders, Dwight R., Irwin, Scott H., Merrin, Robert P.

“…This paper revisits the “adequacy of speculation” debate in agricultural futures markets using the positions held by index funds in the Commitment of Traders…”
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Energy futures prices and commodity index investment: New evidence from firm-level position data by Sanders, Dwight R., Irwin, Scott H.

“…This study brings fresh data to the highly-charged debate about the price impact of long-only index investment in energy futures markets. We use high frequency…”
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The Impact of Index Funds in Commodity Futures Markets: A Systems Approach by Sanders, Dwight R., Irwin, Scott H.

“…This article addresses the debate regarding the role of index funds in commodity futures markets. Many have argued that index funds are speculators that are…”
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Measuring Index Investment in Commodity Futures Markets by Sanders, Dwight R., Irwin, Scott H.

“…The "Masters Hypothesis "is the claim that unprecedented buying pressure in recent years from new index investment created a massive bubble in commodity…”
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The "Necessity" of New Position Limits in Agricultural Futures Markets: The Verdict from Daily Firm-level Position Data by Sanders, Dwight R., Irwin, Scott H.

“…Regulators are proposing new position limits in U.S. commodity futures markets while the actual impact of long-only index funds on futures prices continues to…”
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New Evidence on the Impact of Index Funds in U.S. Grain Futures Markets by Sanders, Dwight R, Irwin, Scott H

“…Commodity index trader position data are examined for the years prior to the 2007–08 commodity price increase. New data from 2004 to 2005 show that a large…”
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A Reappraisal of Investing in Commodity Futures Markets by Sanders, Dwight R., Irwin, Scott H.

“…Investments into commodity-linked products have grown considerably in recent years. Unlike investments in equities, commodity futures markets produce no…”
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Information content in deferred futures prices: Live cattle and hogs by Sanders, D.R, Garcia, P, Manfredo, M.R

“…The informational content in live cattle and hog deferred futures prices is assessed using a direct test of incremental forecast ability for two-to…”
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Hedgers, funds, and small speculators in the energy futures markets: an analysis of the CFTC's Commitments of Traders reports by Sanders, Dwight R., Boris, Keith, Manfredo, Mark

“…The Commodity Futures Trading Commission (CFTC)'s Commitments of Traders (COT) data are examined for crude oil, unleaded gasoline, heating oil, and natural gas…”
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Comparing Hedging Effectiveness: An Application of the Encompassing Principle by Sanders, Dwight R., Manfredo, Mark R.

“…An empirical methodology is developed for statistically testing the hedging effectiveness among competing futures contracts. The presented methodology is based…”
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