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

Citations

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Cited by:

  1. Parnes, Dror & Parnes, Sapir S., 2025. "Hedging geopolitical risks with diverse commodities," International Review of Financial Analysis, Elsevier, vol. 102(C).
  2. Shimeng Shi & Jia Zhai & Yingying Wu, 2024. "Informational inefficiency on bitcoin futures," The European Journal of Finance, Taylor & Francis Journals, vol. 30(6), pages 642-667, April.
  3. Shimeng Shi, 2022. "Bitcoin futures risk premia," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2190-2217, December.
  4. Bianchi, Robert J. & Fan, John Hua & Miffre, Joëlle & Zhang, Tingxi, 2023. "Exploiting the dynamics of commodity futures curves," Journal of Banking & Finance, Elsevier, vol. 154(C).
  5. Christodoulakis, George, 2020. "Estimating the term structure of commodity market preferences," European Journal of Operational Research, Elsevier, vol. 282(3), pages 1146-1163.
  6. Melone, Alessandro & Randl, Otto & Sögner, Leopold & Zechner, Josef, 2025. "Stock-Oil Comovement: Cash Flows or Discount Rates?," VfS Annual Conference 2025 (Cologne): Revival of Industrial Policy 325398, Verein für Socialpolitik / German Economic Association.
  7. Nakagawa, Kei & Sakemoto, Ryuta, 2024. "Commodity sectors and factor investment strategies," International Review of Financial Analysis, Elsevier, vol. 95(PC).
  8. Bannigidadmath, Deepa & Narayan, Paresh Kumar, 2021. "Economic news and the cross-section of commodity futures returns," Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).
  9. Yufeng Han & Lingfei Kong, 2022. "A trend factor in commodity futures markets: Any economic gains from using information over investment horizons?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 803-822, May.
  10. Wang, Qiao, 2024. "Carbon pricing and the commodity risk premium," Journal of Commodity Markets, Elsevier, vol. 36(C).
  11. Byrne, Joseph P. & Sakemoto, Ryuta, 2025. "Commodity correlation risk," Journal of Commodity Markets, Elsevier, vol. 38(C).
  12. Qi Xu & Yang Ye, 2023. "Commodity network and predictable returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(10), pages 1423-1449, October.
  13. Bang, Jeongseok & Kang, Yeonchan & Ryu, Doojin, 2024. "Potential pricing factors in the Korean market," Finance Research Letters, Elsevier, vol. 67(PB).
  14. Bohl, Martin T. & Irwin, Scott H. & Pütz, Alexander & Sulewski, Christoph, 2023. "The impact of financialization on the efficiency of commodity futures markets," Journal of Commodity Markets, Elsevier, vol. 31(C).
  15. Prokopczuk, Marcel & Symeonidis, Lazaros & Wese Simen, Chardin & Wichmann, Robert, 2023. "Convenience yield risk," Energy Economics, Elsevier, vol. 120(C).
  16. Fan, John Hua & Qiao, Xiao, 2023. "Commodity momentum: A tale of countries and sectors," Journal of Commodity Markets, Elsevier, vol. 29(C).
  17. Jilong Chen & Christian Ewald & Ruolan Ouyang & Sjur Westgaard & Xiaoxia Xiao, 2022. "Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil," Annals of Operations Research, Springer, vol. 313(1), pages 29-46, June.
  18. Angelidis, Timotheos & Sakkas, Athanasios & Tessaromatis, Nikolaos, 2025. "Predicting commodity returns: Time series vs. cross sectional prediction models," Journal of Commodity Markets, Elsevier, vol. 38(C).
  19. John Hua Fan & Sebastian Binnewies & Sanuri De Silva, 2023. "Wisdom of crowds and commodity pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(8), pages 1040-1068, August.
  20. Ning Zhang & Yujing Gong & Xiaohan Xue, 2023. "Less disagreement, better forecasts: Adjusted risk measures in the energy futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(10), pages 1332-1372, October.
  21. Renata Guobužaitė & Deimantė Teresienė, 2021. "Can Economic Factors Improve Momentum Trading Strategies? The Case of Managed Futures during the COVID-19 Pandemic," Economies, MDPI, vol. 9(2), pages 1-16, May.
  22. Nicole M. Moran & Scott H. Irwin & Philip Garcia, 2020. "Who Wins and Who Loses? Trader Returns and Risk Premiums in Agricultural Futures Markets," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 42(4), pages 611-652, December.
  23. Bannigidadmath, Deepa & Narayan, Paresh Kumar, 2022. "Economic importance of correlations for energy and other commodities," Energy Economics, Elsevier, vol. 107(C).
  24. Cortazar, Gonzalo & Ortega, Hector & Rojas, Maximiliano & Schwartz, Eduardo S., 2021. "Commodity index risk premium," Journal of Commodity Markets, Elsevier, vol. 22(C).
  25. Shirui Wang & Tianyang Zhang, 2024. "Predictability of commodity futures returns with machine learning models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(2), pages 302-322, February.
  26. Boos, Dominik & Grob, Linus, 2023. "Tracking speculative trading," Journal of Financial Markets, Elsevier, vol. 64(C).
  27. Fuertes, Ana-Maria & Zhao, Nan, 2023. "A Bayesian perspective on commodity style integration," Journal of Commodity Markets, Elsevier, vol. 30(C).
  28. Hyuna Ham & Hoon Cho & Hyeongjun Kim & Doojin Ryu, 2019. "Time‐series momentum in China's commodity futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(12), pages 1515-1528, December.
  29. Paulo Maio, 2025. "Does Dividend Policy Lead the Economy?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 57(8), pages 2287-2308, December.
  30. Massimo Guidolin & Manuela Pedio, 2021. "Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help?," Annals of Operations Research, Springer, vol. 299(1), pages 1317-1356, April.
  31. Jangkoo Kang & Kyung Yoon Kwon, 2020. "Can commodity futures risk factors predict economic growth?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(12), pages 1825-1860, December.
  32. Chi, Yeguang & El-Jahel, Lina & Vu, Thanh, 2025. "Media emotion intensity and commodity futures pricing," Journal of Commodity Markets, Elsevier, vol. 37(C).
  33. Daxuan Cheng & Yin Liao & Zheyao Pan, 2023. "The geopolitical risk premium in the commodity futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(8), pages 1069-1090, August.
  34. Zhang, Lu & Hsieh, Pei-lin & Chen, Haiqiang, 2023. "COVID-19 and commodity pricing premium: Evidence from the Chinese market," Finance Research Letters, Elsevier, vol. 58(PA).
  35. Liu, Zhenya & Lu, Shanglin & Li, Bo & Wang, Shixuan, 2023. "Time series momentum and reversal: Intraday information from realized semivariance," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 54-77.
  36. Rad, Hossein & Low, Rand Kwong Yew & Miffre, Joëlle & Faff, Robert, 2023. "The commodity risk premium and neural networks," Journal of Empirical Finance, Elsevier, vol. 74(C).
  37. Kiss, Tamás & Ferreira Batista Martins, Igor, 2025. "Good volatility, bad volatility and the cross section of commodity returns," Finance Research Letters, Elsevier, vol. 86(PD).
  38. Kei Nakagawa & Ryuta Sakemoto, 2025. "Prices of Risk Estimation for Commodity Factors," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(11), pages 2151-2165, November.
  39. Yasuhiro Iwanaga & Ryuta Sakemoto, 2023. "Commodity momentum decomposition," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(2), pages 198-216, February.
  40. Immo Stadtmüller & Benjamin R. Auer & Frank Schuhmacher, 2024. "Core-satellite investing with commodity futures momentum," Journal of Asset Management, Palgrave Macmillan, vol. 25(3), pages 261-287, May.
  41. Iwanaga, Yasuhiro & Sakemoto, Ryuta, 2024. "Cross-momentum strategies in the equity futures and currency markets," Journal of International Money and Finance, Elsevier, vol. 148(C).
  42. Kwon, Kyung Yoon & Kang, Jangkoo & Yun, Jaesun, 2020. "Weekly momentum in the commodity futures market," Finance Research Letters, Elsevier, vol. 35(C).
  43. Devraj Basu & Olivier Bauthéac, 2025. "Financialization of Commodity Markets Co‐Movement Behind‐the‐Scenes," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(12), pages 2457-2475, December.
  44. Asano, Takao & Cai, Xiaojing & Sakemoto, Ryuta, 2025. "Global foreign exchange volatility, ambiguity, and currency carry trades," Journal of Banking & Finance, Elsevier, vol. 178(C).
  45. Prachi Jain & Debasish Maitra, 2025. "Commodity Price Crash Risk and Crash Risk Contagion," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(4), pages 343-378, April.
  46. Lin, Wensheng & Wang, Xuewu, 2025. "Regime-dependent volatility spillover asymmetry in Shanghai and Hong Kong stock markets with forecasting and portfolio inferences," Economic Modelling, Elsevier, vol. 152(C).
  47. Marcel Prokopczuk & Chardin Wese Simen & Robert Wichmann, 2021. "The Natural Gas Announcement Day Puzzle," The Energy Journal, , vol. 42(2), pages 91-112, March.
  48. Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2023. "Commodity futures return predictability and intertemporal asset pricing," Journal of Commodity Markets, Elsevier, vol. 31(C).
  49. Rad, Hossein & Low, Rand Kwong Yew & Miffre, Joëlle & Faff, Robert, 2020. "Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 164-180.
  50. Sakkas, Athanasios & Tessaromatis, Nikolaos, 2020. "Factor based commodity investing," Journal of Banking & Finance, Elsevier, vol. 115(C).
  51. John Hua Fan & Tingxi Zhang, 2020. "The untold story of commodity futures in China," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(4), pages 671-706, April.
  52. Ying Jiang & Xiaoquan Liu & Zhenyu Lu, 2025. "Cross‐Sectoral Crash Risk and Expected Commodity Futures Returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(10), pages 1636-1664, October.
  53. Jo, Yonghwan & Kim, Jihee & Santos, Francisco, 2022. "The impact of liquidity risk in the Chinese banking system on the global commodity markets," Journal of Empirical Finance, Elsevier, vol. 66(C), pages 23-50.
  54. Constant Aka & Marie‐Hélène Gagnon & Gabriel J. Power, 2025. "Commodity Option Return Predictability," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(10), pages 1544-1578, October.
  55. Yiqing Wang & Dehao Dai & Ding Ma & Kerui Geng, 2026. "Macro Economists in the Machine: A Multi-Agent LLM Framework for Commodity-Related ETF Portfolio Construction," Papers 2606.08283, arXiv.org.
  56. Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Gonzalez-Fernandez, Marcos & Miffre, Joelle, 2020. "Fear of hazards in commodity futures markets," Journal of Banking & Finance, Elsevier, vol. 119(C).
  57. Meng Han, 2023. "Commodity momentum and reversal: Do they exist, and if so, why?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1204-1237, September.
  58. Pan, Zhiyuan & Zhong, Hao & Wang, Yudong & Huang, Juan, 2024. "Forecasting oil futures returns with news," Energy Economics, Elsevier, vol. 134(C).
  59. Jangkoo Kang & Kyung Yoon Kwon, 2021. "Volatility‐managed commodity futures portfolios," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(2), pages 159-178, February.
  60. Xue Jiang & Liyan Han & Yang Xu, 2021. "How does skewness perform in the Chinese commodity futures market?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1268-1285, August.
  61. Coqueret, Guillaume & Tavin, Bertrand & Zhou, Yuxin, 2026. "Sustainability in commodity markets," Journal of Banking & Finance, Elsevier, vol. 184(C).
  62. Zaremba, Adam & Bianchi, Robert J. & Mikutowski, Mateusz, 2021. "Long-run reversal in commodity returns: Insights from seven centuries of evidence," Journal of Banking & Finance, Elsevier, vol. 133(C).
  63. Logan Cochrane & Eric P. H. Li & Melisew Dejene & M. Mustahid Husain, 2024. "Why foreign agricultural investment fails? Five lessons from Ethiopia," Journal of International Development, John Wiley & Sons, Ltd., vol. 36(1), pages 541-558, January.
  64. Li, Hemei & Liu, Zhenya & Zhao, Yuqian, 2023. "The Fortune and crash of common risk factors in Chinese commodity markets," Journal of Commodity Markets, Elsevier, vol. 32(C).
  65. Ana‐Maria Fuertes & Zhenya Liu & Weiqing Tang, 2022. "Risk‐neutral skewness and commodity futures pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(4), pages 751-785, April.
  66. Stadtmüller, Immo & Auer, Benjamin R. & Schuhmacher, Frank, 2022. "On the time-varying dynamics of stock and commodity momentum returns," Finance Research Letters, Elsevier, vol. 46(PB).
  67. Scott H. Irwin & Dwight R. Sanders & Aaron Smith & Scott Main, 2020. "Returns to Investing in Commodity Futures: Separating the Wheat from the Chaff," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 42(4), pages 583-610, December.
  68. Bianchi, Robert J. & Fan, John Hua & Zhang, Tingxi, 2021. "Investable commodity premia in China," Journal of Banking & Finance, Elsevier, vol. 127(C).
  69. Zhang, Ning & Gong, Yujing & Xue, Xiaohan, 2023. "Less disagreement, better forecasts: adjusted risk measures in the energy futures market," LSE Research Online Documents on Economics 118451, London School of Economics and Political Science, LSE Library.
  70. Daejin Kim, 2025. "Term Structure and Risk Premiums of Commodity Futures With Linear Regressions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(2), pages 118-142, February.
  71. Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joelle, 2021. "The risk premia of energy futures," Energy Economics, Elsevier, vol. 102(C).
  72. Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joëlle & Zhao, Nan, 2025. "Newswire tone-overlay commodity portfolios," Journal of Banking & Finance, Elsevier, vol. 178(C).
  73. Chen Chuanglian & Lin Huanheng & Lin Yuting, 2026. "Deep Learning‐Based Network Relationship Construction Method and Its Impact on Futures Risk Premiums," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 46(1), pages 175-196, January.
  74. Baur, Dirk G. & Smales, Lee A., 2020. "Hedging geopolitical risk with precious metals," Journal of Banking & Finance, Elsevier, vol. 117(C).
  75. Zaremba, Adam & Mikutowski, Mateusz & Szczygielski, Jan Jakub & Karathanasopoulos, Andreas, 2021. "The alpha momentum effect in commodity markets," Energy Economics, Elsevier, vol. 93(C).
  76. Massimo Guidolin & Manuela Pedio, 2022. "Switching Coefficients or Automatic Variable Selection: An Application in Forecasting Commodity Returns," Forecasting, MDPI, vol. 4(1), pages 1-32, February.
  77. Mohamad T. Simpal & Cashmere Zinneth A. Montoya & Althea Grace A. Pasawilan & Re-An Kaye J. Bernal & Trixy Devie Faith G. Nacionales, 2024. "Teacher Support and Academic Stress: The Mediating Effects of Self-Regulated Learning in Physics among Senior High School STEM Students," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 8(12), pages 2025-2037, December.
  78. Jun Yuan & Qi Xu & Ying Wang, 2023. "Probability weighting in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(4), pages 516-548, April.
  79. Qin Yiyi & Jun Cai & Jie Zhu & Robert Webb, 2025. "Commodity Futures Characteristics and Asset Pricing Models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(3), pages 176-207, March.
  80. Pu, Yingjian & Yang, Baochen, 2022. "The commodity futures' historical basis in trading strategy and portfolio investment," Energy Economics, Elsevier, vol. 105(C).
  81. Kwon, Kyung Yoon & Kang, Jangkoo & Yun, Jaesun, 2021. "Basis-momentum strategies and ranking periods," Finance Research Letters, Elsevier, vol. 43(C).
  82. Yiyan Qian & Ying Jiang & Xiaoquan Liu, 2025. "Factor Momentum in Commodity Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(11), pages 1934-1969, November.
  83. Marcel Prokopczuk & Chardin Wese Simen & Robert Wichmann, 2021. "The dynamics of commodity return comovements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(10), pages 1597-1617, October.
  84. Wang, Qiao & Balvers, Ronald, 2021. "Determinants and predictability of commodity producer returns," Journal of Banking & Finance, Elsevier, vol. 133(C).
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