Anomalies in Commodity Futures Markets

IF 0.9 Q3 BUSINESS, FINANCE Quarterly Journal of Finance Pub Date : 2021-10-07 DOI:10.1142/s2010139221500178
Fabian Hollstein, Marcel Prokopczuk, Björn Tharann
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Abstract

In recent years, commodity markets have become increasingly popular among financial investors. While previous studies document a factor structure, not much is known about how prominent anomalies are priced in commodity futures markets. We examine a large set of such anomaly variables. We identify sizable premia for jump risk, momentum, skewness, and volatility-of-volatility. Other prominent variables, such as downside beta, idiosyncratic volatility, and MAX, are not priced in commodity futures markets. Commodity investors should rebalance their portfolios regularly. Returns for annual holding periods are substantially weaker than for monthly rebalancing.
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商品期货市场的异常现象
近年来,大宗商品市场越来越受到金融投资者的欢迎。虽然以前的研究记录了一个因素结构,但对于大宗商品期货市场中突出的异常是如何定价的,我们知之甚少。我们研究了大量这样的异常变量。我们认为跳跃风险、动量、偏度和波动性的波动性具有相当大的溢价。其他重要的变量,如下行贝塔、特殊波动率和MAX,都没有在商品期货市场定价。大宗商品投资者应定期调整其投资组合。年度持有期的回报率远低于月度再平衡。
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来源期刊
Quarterly Journal of Finance
Quarterly Journal of Finance BUSINESS, FINANCE-
CiteScore
1.10
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0.00%
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0
期刊介绍: The Quarterly Journal of Finance publishes high-quality papers in all areas of finance, including corporate finance, asset pricing, financial econometrics, international finance, macro-finance, behavioral finance, banking and financial intermediation, capital markets, risk management and insurance, derivatives, quantitative finance, corporate governance and compensation, investments and entrepreneurial finance.
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