Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns

• 成果类型: Article
• 署名作者: Bakshi, Gurdip; Gao, Xiaohui; Rossi, Alberto G.
• 署名单位: University System of Maryland; University of Maryland College Park
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2017.2840
• 发表日期: 2019
• 页码: 619-641
• 关键词: commodity asset pricing models; carry; momentum; innovations in equity volatility; speculative activity

摘要

We show that a model featuring an average commodity factor, a carry factor, and a momentum factor is capable of describing the cross-sectional variation of commodity returns. More parsimonious one- and two-factor models that feature only the average and/or carry factors are rejected. To provide an economic interpretation, we show that innovations in global equity volatility can price portfolios formed on carry, while innovations in a commodity-based measure of speculative activity can price portfolios formed on momentum. Finally, we characterize the relation between the factors and the investment opportunity set.