Active Long-Only Investment in Energy Futures

Georgiev, Georgi

doi:10.3905/jai.2004.439640

Cited by 4 publications

(3 citation statements)

References 7 publications

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“…2. See Froot (1995), Kolb (1996), De Roon, Nijman and Veld (2000), Becker and Finnerty (2000), Greer (2000), Georgiev (2001), Georgiev (2004), Rzepczynski, Belentepe, Wei and Lipsky (2004), etal.…”

Section: Endnotesmentioning

confidence: 99%

The Value Effect of Crude Oil Derivatives Transactions by Oil Producers

Xu¹,

Lin²,

Kensinger³

2011

Research in Finance

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Previous studies show that crude oil is negatively correlated with stocks but has almost the same rate of return as stocks, and so adding crude oil into a portfolio with equities can provide significant diversification benefits for the portfolio. Given the diversification benefit of crude oil mixed with equities, we examine the value effect of crude oil derivatives transactions by oil and gas producers. Differing from traditional corporate risk management literature, this study examines corporate derivatives transactions from the shareholders' diversification perspective. The results show that crude oil derivatives transactions by oil and gas producers do impact value. If oil and gas producing companies stop shorting crude oil derivatives contracts, company stock prices increase significantly. In contrast, if oil and gas producing companies initiate short positions in crude oil derivatives contracts, stock prices drop marginally significantly. Thus, hedging by producers is not necessarily good. Transaction limitation is shown to be one of the possible sources of the value effect of corporate derivatives transactions.

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Section: Endnotesmentioning

confidence: 99%

The Value Effect of Crude Oil Derivatives Transactions by Oil Producers

Xu¹,

Lin²,

Kensinger³

2011

Research in Finance

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“…Investors in passive investment products desire commodity exposure, or the so-called 'commodity b'. According to Georgiev (2004), this is because a simple long exposure to natural resources is often less expensive and is in line with most investment restrictions, and thus there is no short-selling or leverage involved. In addition to the standard passive investment products, today there are many passive-enhanced products available as well, including, for example, simple roll yield optimization algorithms.…”

Section: Introductionmentioning

confidence: 99%

A primer on commodity hedge funds

Bauer¹,

Heidorn²,

Kaiser³

2012

J Deriv Hedge Funds

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“…Passive long-only portfolios of commodity futures -as well as certain individual futures -have displayed some risk premiums, [1][2][3][4][5][6][7] tend to have low correlations with other asset classes, 1,4,6,[8][9][10][11] and may serve as a hedge against inflation and business cycles. 1,6,7,[12][13][14][15][16] Further, commodity futures exhibit dynamic features that may be exploitable in tactical contexts, 17 including momentum, 4,7,18,19 seasonality, 7 and predictable responses to the shape of the term structure. 4,20,21 A common assumption made in previous studies is that the futures investment is fully collateralized.…”

Section: Introductionmentioning

confidence: 99%

Effects of full collateralization in commodity futures investments

Woodard

Egelkraut²,

Garcia³

et al. 2011

J Deriv Hedge Funds

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His research focuses primarily on finance, risk management and insurance issues, with an emphasis on applied modeling and simulation in the areas of ratemaking, actuarial market performance evaluation, weather derivatives, investing, commodity futures and options and spatial econometrics. His recent research has been published in the Journal of Risk and Insurance, the Agricultural Finance Review, and the Journal of Agricultural and Resource Economics, among others.

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Active Long-Only Investment in Energy Futures

Cited by 4 publications

References 7 publications

The Value Effect of Crude Oil Derivatives Transactions by Oil Producers

The Value Effect of Crude Oil Derivatives Transactions by Oil Producers

A primer on commodity hedge funds

Effects of full collateralization in commodity futures investments

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