Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns
研究发现一个包含平均商品因子、持仓因子和动量因子的三因子模型能解释商品收益的横截面差异，而更简单的单因子或双因子模型则被拒绝。全球股票波动率创新可定价持仓组合，投机活动创新可定价动量组合。
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. Data and the Internet appendix are available at https://doi.org/10.1287/mnsc.2017.2840 This paper was accepted by Neng Wang, finance.