题 目：New Evidence on the Financialization of Commodity Markets
主讲人： Neil Pearson教授（University of Illinois at Urbana-Champaign, Department of Finance）
时 间：2012年9月18日(周二) 下午2:00-3:30
地 点：主楼216室
主讲人简介：
Neil D. Pearson is the Harry A. Brandt Distinguished Professor of Finance at the University of Illinois at Urbana-Champaign. He previously served on the faculty of the William E. Simon Graduate School of Business Administration at the University of Rochester. He teaches courses about the valuation of derivative financial instruments and the measurement of financial risks and conducts research on various issues in financial markets. In addition to publishing papers in a number of academic journals, Dr. Pearson is the author of Risk Budgeting: Portfolio Problem Solving Using Value at Risk (Wiley). He is an Associate Editor of the Journal of Financial Economics, the Journal of Financial and Quantitative Analysis, the Journal of Risk, and Economics Bulletin. Dr. Pearson has extensive consulting experience on the measurement and management of market and credit risk and on the valuation of derivative financial instruments. He received his Ph.D. from the Massachusetts Institute of Technology.
内容简介：
Following the recent, dramatic increase in commodity investments by financial institutions, academics, practitioners, and regulators have engaged in a heated debate over whether financial institutions’ trades and holdings have affected commodity prices and their return dynamics.This paper examines the price impact of commodity investments on commodities futures markets using a novel dataset of Commodity-Linked Notes(CLNs). CLN issuers hedge their liabilities by taking long positions in the underlying commodity futures on the pricing dates. These hedging trades are plausibly exogenous to the contemporaneous and subsequent price movements, allowing us to identify the price impact of the hedging trades. The trades cause significant changes to the underlying futures prices, and thus provide direct evidence of the impact of “financial” trades on commodity futures prices.
