The geopolitical risk premium in the commodity futures market
研究商品期货市场中地缘政治风险溢价的存在性，发现低地缘政治风险贝塔的商品期货年化风险调整收益比高贝塔的高9.05%，且该溢价在地缘政治风险高发期和2000年前更显著。
Abstract In this study, we investigate the geopolitical risk premium in the commodity futures market. By estimating the exposure of cross‐sectional commodity futures excess returns on a historical geopolitical risk index, we find that commodities with low‐risk betas generate 9.05% higher annual risk‐adjusted returns than those with high‐risk betas. The results indicate that low‐geopolitical‐risk‐related commodity futures contracts require extra compensation by risk‐averse investors due to hedging demand. We also explore the time‐varying characteristics of the geopolitical risk premium: It appears more pronounced during high‐geopolitical‐risk periods and before the year 2000. Finally, we exploit the subcategories of geopolitical risk and find that geopolitical threats better explain the variation of the geopolitical risk premium than do geopolitical acts, making it a main source of the geopolitical risk premium.