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Title: Speculative pressure Authors:  John Fan - Griffith Business School (Australia)
Adrian Fernandez-Perez - Auckland University of Technology (New Zealand)
Ana-Maria Fuertes - Cass Business School - City University London (United Kingdom)
Joelle Miffre - Audencia Business School (France) [presenting]
Abstract: The pricing content of speculative pressure in diverse futures classes is investigated. Long-short portfolios of futures contracts sorted by speculative pressure capture a significant premium in commodity, currency and equity markets but not in fixed income markets. Exposure to commodity, currency and equity index futures speculative pressure is priced in the broad cross-section after controlling for momentum, carry, global liquidity and volatility risks. The findings are confirmed by robustness tests using alternative speculative pressure signals, portfolio construction techniques and subsamples inter alia. We argue that there is an efficient hedgers-speculators risk transfer in commodity, currency and equity index futures markets.