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The pricing efficiency of exchange-traded commodities

Dorfleitner, Gregor ; Gerl, Anna ; Gerer, Johannes


Exchange-traded commodities (ETCs) open the commodity markets to both private and institutional investors. This paper is the first to examine the pricing efficiency and potential determinants of price deviations of this new class of derivatives based on daily data of 237 ETCs traded on the German market from 2006 to 2012. Given the unique size of the sample, we employ the premium/discount ...


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