Does speculation impact what factors determine oil futures prices?

- Consider observable and unobservable factors separately for oil futures prices.
- Assess each class of factors in subsamples split by speculative activity.
- Uncover significant outperformance utilising a composite prediction framework.

Recent studies provide contradictory evidence about the impact of speculation on commodity prices. Rather than directly evaluating this relationship we instead use a novel approach to assess if speculation can inform our choice of factor inclusion in modelling oil futures.