[VFN] INVITATION Oct 29: WU Gutmann Center Public Lecture Suleyman Basak LBS: "The Financialization of Commodities"

Alois Geyer alois.geyer at wu.ac.at
Tue Oct 22 11:18:40 CEST 2013


INVITATION  

The WU Gutmann Center cordially invites you to the forthcoming  
WU GUTMANN CENTER PUBLIC LECTURE
(apologies for duplicated mails!)  

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Date: OCTOBER 29 (Tuesday), 2013, 4:00 pm
Location: NOTE! Other than stated in an earlier invitation the public lecture takes 
place at Bank Gutmann, Schwarzenbergplatz 16, A-1010 Wien

Speaker: Prof. Suleyman Basak, London Business School and CEPR 
http://faculty.london.edu/sbasak/             

Title: "The Financialization of Commodities " 

ABSTRACT:
A sharp increase in the popularity of commodity investing in the past decade has triggered 
an unprecedented inflow of institutional funds into commodity futures markets. Such 
financialization of commodities coincided with significant booms and busts in commodity 
markets, raising concerns of policymakers. In this talk, I explore the effects of 
financialization in a model that features institutional investors alongside traditional futures 
markets participants. The institutional investors care about their performance relative to a 
commodity index. We find that if a commodity futures is included in the index, supply and 
demand shocks specific to that commodity spill over to all other commodity futures markets. 
In contrast, supply and demand shocks to a nonindex commodity affect just that commodity 
market alone. Moreover, prices and volatilities of all commodity futures go up, but more so 
for the index futures than for nonindex ones. Furthermore, financialization - the presence of 
institutional investors - leads to an increase in correlations amongst commodity futures as 
well as in equity-commodity correlations. Consistent with empirical evidence, the increases 
in the correlations between index commodities exceed those for nonindex ones. We perform 
a simple calibration and find that financialization accounts for 11% to 17% of commodity 
futures prices and the rest is attributable to fundamentals.  


About Suleyman Basak:
Dr. Basak is Professor of Finance at London Business School and a Research Fellow to the 
Center of Economic Policy Research.   He was an Assistant Professor of Finance at the 
Wharton School of the University of Pennsylvania, was a visitor at the Graduate School of 
Business at the University of Chicago, and acted as a consultant to Goldman, Sachs & Co.  
He received his Ph.D. in Financial Economics from Carnegie Mellon University.  Dr. Basak´s 
research focuses on asset pricing, asset allocation, risk management, market imperfections, 
international finance and financial innovation. His work has addressed issues related to 
portfolio insurance, VaR-based risk management, benchmarking, credit risk, tax arbitrage, 
incentive problems plaguing institutional asset management, and mispricing, arbitrageurs 
and monopoly power in financial markets.  His research is the recipient of several awards 
including the American Association of Individual Investors Award for the Best Paper on 
Investments, and the Alexander Henderson Award for Excellence in Economic Theory. 

**Please REGISTER**:
Mail: gutmann-center at wu.ac.at
Phone: +43-1-31336-5238

CONTACT AND FURTHER INFORMATION:
WU Gutmann Center for Portfolio Management WU (Wirtschaftsuniversität Wien)
Department of Finance, Accounting and Statistics
Sabina Krickl
www.gutmann-center.at


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