Journal of Financial and Quantitative Analysis Vol. 58 No. 8 2023
Is There Smart Money? How Information in the Commodity Futures Market Is Priced into the Cross Section of Stock Returns with Delay
Abstract
We document a new empirical phenomenon in which the aggregate positions of money managers, who are sophisticated speculators in the commodity futures market, as disclosed by the Disaggregated Commitments of Traders reports, can predict the cross section of commodity producers’ stock returns in the subsequent week. We employ a number of cross-sectional methods, including calendar-time regression analysis, single-sort, double-sort, and Fama–MacBeth regressions, to confirm the predictability results. The results are more pronounced in firms with higher information asymmetry. We thus add more empirical evidence to the literature on costly information processing, which leads to gradual information diffusion across asset markets.
- DOI
- 10.1017/s0022109023000066
- Volume
- 58
- Issue
- 8
- Pages
- 3201-3230
- Language
- en
- Sources
- bibtex:phds-export.bib crossref openalex