Basis-Momentum

• 成果类型: Article
• 署名作者: Boons, Martijn; Prado, Melissa Porras
• 署名单位: Universidade Nova de Lisboa
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12738
• 发表日期: 2019
• 页码: 239-279
• 关键词: COMMON RISK-FACTORS; cross-section; stock returns; liquidity; financialization; volatility; premia; MODEL

摘要

We introduce a return predictor related to the slope and curvature of the futures term structure: basis-momentum. Basis-momentum strongly outperforms benchmark characteristics in predicting commodity spot and term premiums in both the time series and the cross section. Exposure to basis-momentum is priced among commodity-sorted portfolios and individual commodities. We argue that basis-momentum captures imbalances in the supply and demand of futures contracts that materialize when the market-clearing ability of speculators and intermediaries is impaired, and that it represents compensation for priced risk. Our findings are inconsistent with alternative explanations based on storage, inventory, and hedging pressure.