Anomalies in Commodity Futures Markets

Hollstein, Fabian; Prokopczuk, Marcel; Tharann, Bjoern

doi:10.1142/s2010139221500178

Cited by 6 publications

(10 citation statements)

References 127 publications

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“…Since these models can successfully explain cross-sectional variation in stock returns, they should also help explain other asset classes' returns in integrated markets (see e.g., Cochrane, 2009). Surprisingly, the performance of these models in explaining the cross-section of commodity returns is only studied in few papers (see e.g., Daskalaki et al, 2014;Hollstein et al, 2021), and there is a lack of consensus whether there are common risk factors among commodity returns.…”

Section: Motivation To Study Commodities As An Asset Classmentioning

confidence: 99%

“…9 This provides us both with time-series asset pricing tests in the first stage, and gives an estimate of the risk premium of the risk factors in the second-stage cross-sectional regressions. This approach also is commonly used in the related literature (see e.g., Brooks et al, 2016;Daskalaki et al, 2014;De Roon and Szymanowska, 2010;Hollstein et al, 2021;L übbers and Posch, 2016).…”

Section: Asset Pricing Testsmentioning

confidence: 99%

“…In order to avoid using those "erratic" prices, we close the position of a futures contract at the end of the month prior to the month of the delivery date and roll over to the next nearest futures contract in the meantime, following e.g., Boons and Prado (2019) 2014), natural gas and gasoil are included in our dataset. Some studies use commodity prices after 1980 (see e.g., Daskalaki et al, 2014;He et al, 2019;Prokopczuk et al, 2021;Shang et al, 2016;Szymanowska et al, 2014), while some studies use a longer time series at least as early as 1970 (see e.g., Bakshi et al, 2019;Boons and Prado, 2019;De Roon and Szymanowska, 2010;Hollstein et al, 2021;Yang, 2013).…”

Section: Commodity Prices and Commodity-specific Factorsmentioning

confidence: 99%

“…In this chapter, we use unbalanced panel data for these commodities to use all available information, consistent with Szymanowska et al (2014). Our sample starts in September 1960 to make sure that there are at least 2 commodities in each of the portfolios sorted on commodity momentum and percentage yield, as in Hollstein et al (2021), and our sample ends in September 2020. Detailed information about the 23 commodities is shown in Table 3.A.1 in appendix 3.A.…”

Section: Commodity Prices and Commodity-specific Factorsmentioning

confidence: 99%

“…Surprisingly, there are only few studies regarding the cross-sectional variation in commodity returns with asset pricing risk factors that prove successful in stock markets as well (see e.g., Daskalaki et al, 2014;Hollstein et al, 2021). Among such studies, there is no consensus whether there are any common risk factors.…”

Section: Introductionmentioning

confidence: 99%

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Commodities as an Asset Class

Han¹

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Four years ago, I came to Groningen to pursue my PhD in finance, especially focusing on asset pricing. It has been such a wonderful experience for me! Thanks to my daily supervisor, Lammertjan Dam, I engaged in many interesting topics. During the first year, he suggested me many courses related to asset pricing. These courses helped me have a systematic understanding of asset pricing and made me interested in this research area. So, I decided to change my PhD research plan to asset pricing at the end of the first year. I discussed this with Lammertjan and we wrote a completely new research proposal during the summer holiday after the first year. In hindsight, I can say it was the right decision and I am very happy with where I am now. Lammertjan is a super nice research partner and I enjoyed a lot working with him. We were stuck on a technical issue about taking logs with negative values for the first project for more than two years. In March 2022, he suddenly had some "crazy" ideas to solve the technical issue. We discussed a lot and working with him at that time was like a roller coaster. Finally, we ended up with nice math, estimations, and results and updated the project in the thesis. I saw his passion for research and I learned from him how to solve difficult issues step by step. That was an amazing March and I would never forget it. Now, I consider him an important friend. When I encountered frustration in research and in life, he was always there and gave me support and encouragement.Therefore, the first person I would like to thank is Lammertjan Dam. I enjoyed this journey with him.I would like to thank my promoter, Bert Scholtens. I learned a lot about academic writing from him. He let me know that quality is better than speed. He offered many comments on our papers and my PhD thesis, which were very helpful to improve the quality of my writing. He helped me a lot with the thesis, being also especially critical to the introduction and conclusion sections. He returned his hand-written comments faster than I expected and he patiently explained those ii comments to me. Those hand-written comments are a precious memory to me. I will put them in my place. In addition, I would like to thank Walt Pohl. I am so happy to collaborate with him on the first project. He provided many constructive comments, making the paper more solid and more convincing.There are many people that have been supportive, helpful, or simply pleasant colleagues during my PhD period, and I am very grateful for that. There are some people that I would like to thank in particular. First of all, I would like to thank the members of the doctoral dissertation committee: Robert Lensink, Tommy Lundgren, and Wolfgang Bessler. Furthermore, I would like to thank Jan Jacobs for his books and for his discussion of my paper at the SOM PhD conference. I still remembered the dinner with him and Zhongbo Jing. Also, I would like to thank the colleagues in the asset pricing group:

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Section: Motivation To Study Commodities As An Asset Classmentioning

confidence: 99%

Section: Asset Pricing Testsmentioning

confidence: 99%

Section: Commodity Prices and Commodity-specific Factorsmentioning

confidence: 99%

Section: Commodity Prices and Commodity-specific Factorsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Commodities as an Asset Class

Han¹

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Commodity tail risks

Ammann

Moerke

Prokopczuk

et al. 2022

Journal of Futures Markets

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In this study, we investigate the cross-section of option-implied tail risks in commodity markets. In contrast to findings from equity markets, left and right tail risks implied by option markets are both large. Commodity-specific variables exert the largest influence on tail risk, while there is no evidence of systematic commodity factors that are linked to tail risk. Additionally, we find strong links to the equity markets, but also comovements to macroeconomic factors. Left or right tail risks are largely independent of variance risk premiums. Finally, both left and right tail risks are priced in the cross-section of commodity futures returns.

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Commodity return predictability: Evidence from implied variance, skewness, and their risk premia☆☆

Finta

Ornelas

2022

Journal of International Financial Markets, Institutions and Mo

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Anomalies in Commodity Futures Markets

Cited by 6 publications

References 127 publications

Commodities as an Asset Class

Commodities as an Asset Class

Commodity tail risks

Commodity return predictability: Evidence from implied variance, skewness, and their risk premia☆☆

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