New evidence on commodity stocks
研究商品股票是否应纳入投资组合，比较其与商品期货的多元化收益，发现金融化后商品股票投资更有利可图，且期货市场价格信号可帮助获取高回报。
Abstract This paper investigates whether commodity‐related equities (commodity stocks) should be included in investors' portfolios. In light of the recent financialization of commodity futures markets, it examines the diversification benefits derived from investing in commodity stocks and compares them with those derived from commodity futures. The empirical evidence indicates that over the prefinancialization period, commodity futures provide superior diversification benefits whereas over the postfinancialization period, commodity stock investing is more profitable. Further analysis on the relationship between commodity futures and stock markets reveals that the investor can use price‐based signals from futures markets to achieve high commodity stock returns.