Basis‐Momentum
提出一种基于期货期限结构斜率和曲率的预测因子：基差动量，该因子在预测商品现货和期限溢价上显著优于传统指标，并解释其源于投机者与中介机构市场出清能力受损时的供需失衡。
ABSTRACT We introduce a return predictor related to the slope and curvature of the futures term structure: basis‐momentum. Basis‐momentum strongly outperforms benchmark characteristics in predicting commodity spot and term premiums in both the time series and the cross section. Exposure to basis‐momentum is priced among commodity‐sorted portfolios and individual commodities. We argue that basis‐momentum captures imbalances in the supply and demand of futures contracts that materialize when the market‐clearing ability of speculators and intermediaries is impaired, and that it represents compensation for priced risk. Our findings are inconsistent with alternative explanations based on storage, inventory, and hedging pressure.