Risk and return in copper, platinum, and silver futures

Volatility persistence in metal returns: A FIGARCH approach

“…Building on Chang, Chen, and Chen (1990), the return generating process employed in this study follows a multi-index CAPM. 22 In a traditional CAPM framework, an investor holding a stock is effectively exposed to market and industry-specific risk.…”

Normal backwardation is normal

“…1 The results then indicate that, while the normal backwardation theory fails to describe the pricing of commodity futures (Baxter, Conine, & Tamarkin, 1985), it has some merits in explaining the relationship between risk and expected return in metal futures markets (Chang, Chen, & Chen, 1990).…”

Expected commodity returns and pricing models

“…They also find systematic risk significantly different from zero (for the same contracts studied by Dusak) when β is allowed to be stochastic and it is specified as a function of net market position of large speculators. Chang et al (1990) find significant systematic risk 6 T 1 … Tn are the maturities of the future contracts. for copper, platinum and silver, differing from previous work done on agricultural commodities.…”

“…Futures contracts are a special case of assets as they represent zero investment positions. Following Chang et al (1990) and Bessembinder (1992) the CAPM for futures contracts is defined as:…”