Details
| Original language | English |
|---|---|
| Article number | 2150017 |
| Number of pages | 43 |
| Journal | The Quarterly Journal of Finance |
| Volume | 11 |
| Issue number | 4 |
| Publication status | Published - 6 Oct 2021 |
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.
Keywords
- Anomalies, commodity futures markets
ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
- Economics, Econometrics and Finance(all)
- Finance
- Business, Management and Accounting(all)
- Strategy and Management
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In: The Quarterly Journal of Finance, Vol. 11, No. 4, 2150017, 06.10.2021.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Anomalies in Commodity Futures Markets
AU - Hollstein, Fabian
AU - Prokopczuk, Marcel
AU - Tharann, Björn
N1 - Publisher Copyright: © 2021 World Scientific Publishing Company.
PY - 2021/10/6
Y1 - 2021/10/6
N2 - 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.
AB - 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.
KW - Anomalies
KW - commodity futures markets
UR - http://www.scopus.com/inward/record.url?scp=85117194002&partnerID=8YFLogxK
U2 - 10.1142/s2010139221500178
DO - 10.1142/s2010139221500178
M3 - Article
VL - 11
JO - The Quarterly Journal of Finance
JF - The Quarterly Journal of Finance
SN - 2010-1392
IS - 4
M1 - 2150017
ER -