An Anatomy of Commodity Futures Risk Premia
研究发现商品期货收益中存在两种风险溢价：与基础商品风险相关的现货溢价和与基差变化相关的期限溢价，并揭示了基差排序组合对现货溢价的解释力。
ABSTRACT We identify two types of risk premia in commodity futures returns: spot premia related to the risk in the underlying commodity, and term premia related to changes in the basis. Sorting on forecasting variables such as the futures basis, return momentum, volatility, inflation, hedging pressure, and liquidity results in sizable spot premia between 5% and 14% per annum and term premia between 1% and 3% per annum. We show that a single factor, the high‐minus‐low portfolio from basis sorts, explains the cross‐section of spot premia. Two additional basis factors are needed to explain the term premia.