Cross‐Sectoral Crash Risk and Expected Commodity Futures Returns
研究了股票市场跨部门崩盘风险如何影响商品期货的预期收益，发现暴露于该风险越高的期货后续收益越低，月收益差达1.04%。
ABSTRACT This study examines the pricing of equity cross‐sectoral crash (CSC) risk in the cross section of commodity futures returns. Theoretically, commodity futures with higher exposure to the CSC risk are expected to offer lower subsequent returns as they hedge against the CSC risk. We first construct a CSC risk measure by averaging the pairwise left‐tail dependence across 17 sectors in the US market, which allows us to better capture granular sector‐level shocks often washed out at the aggregate level. We find that the return spread between commodity futures with the lowest and highest loading of the CSC risk is 1.04% per month and significant at the 1% level. This result can be rationalized as shocks to the CSC risk precede impaired economic activities in the future. Overall, our paper sheds light on the pricing of commodity futures with a novel stock market crash risk factor.