Commodity risks and the cross-section of equity returns

被引：4
|
作者：
Brooks, Chris [1 ]
Fernandez-Perez, Adrian [2 ]
Miffre, Joelle [3 ]
Nneji, Ogonna [1 ]
机构：
[1] Univ Reading, Henley Business Sch, ICMA Ctr, Reading RG6 6BA, Berks, England
[2] Auckland Univ Technol, Dept Finance, Private Bag 92006, Auckland 1142, New Zealand
[3] EDHEC Business Sch, 392 Promenade Anglais, Nice, France
来源：
BRITISH ACCOUNTING REVIEW | 2016年 / 48卷 / 02期
关键词：
Long-only commodity portfolio; Term structure portfolio; Commodity risks; Cross-section of equity returns; LEADING INDICATORS; FIRM VALUE; FUTURES; OIL; US; MANAGEMENT; MACROECONOMY; PREMIUMS;
D O I：
10.1016/j.bar.2016.03.001
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The article examines whether commodity risk is priced in the cross-section of global equity returns. We employ a long-only equally-weighted portfolio of commodity futures and a term structure portfolio that captures phases of backwardation and contango as mimicking portfolios for commodity risk. We find that equity-sorted portfolios with greater sensitivities to the excess returns of the backwardation and contango portfolio command higher average excess returns, suggesting that when measured appropriately, commodity risk is pervasive in stocks. Our conclusions are robust to the addition to the pricing model of financial, macroeconomic and business cycle-based risk factors. (C) 2016 Elsevier Ltd. All rights reserved.
引用
收藏
页码：134 / 150
页数：17
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