Commodity momentum and reversal: Do they exist, and if so, why?
研究了23种商品60年的数据，发现将净便利收益纳入现货收益定义后，商品期货和现货市场在动量与反转模式上表现一致，且这些模式可由传统资产定价因子和便利收益相关的基础因子共同解释。
Abstract Questions as to why differences in momentum and reversal patterns seem to emerge in commodity futures compared with spot markets, and how these patterns can be explained, remain unanswered. To investigate these questions, I examine 23 commodities over a period of 60 years. I first show that including the net convenience yield in the definition of commodity spot returns reconciles the differences in the results for commodity spot and futures markets. Both commodity futures and spot markets exhibit quantitatively consistent momentum and reversal effects. An initial momentum effect is followed by a reversal effect and then another momentum effect. These observed patterns in commodities can be jointly explained by a combination of traditional asset pricing factors and a basis factor related to the net convenience yield.