event
Brown Bag Lunch
Monday
10
December
Brown Bag Lunch

Is There Smart Money? How Information in the Futures Market Is Priced into the Cross-Section of Stock Returns with Delay

Alexandre Lauwers, PhD candidate in International Economics
, -

Maison de la Paix, S1 Petal 2

The BBL is a weekly event organized by the International Economics where faculty members present their ongoing research.

Add to Calendar

We document a new empirical phenomenon in which the positions of managed money (MM) traders, who are sophisticated speculators in the commodity futures market, as disclosed by the CFTC Disaggregated Commitments of Traders (DCOT) reports, can predict the cross-section of commodity producers' stock returns in the subsequent week. A trading strategy based on this finding generates a sizeable alpha that is robust to the Fama-French Five-Factor model, and the mispricing factor model. The results are more pronounced in firms with higher information asymmetry, proxied by analyst dispersion and historical volatility.

Research Projects
AFA 2019 Atlanta Meetings Paper

Is there Smart Money?