Abstract

http://ssrn.com/abstract=1785728
 
 

References (43)



 


 



The Price of Commodity Risk in Stock and Futures Markets


Martijn Boons


New University of Lisbon - Nova School of Business and Economics

Frans De Roon


Tilburg University - Department of Finance

Marta Szymanowska


Erasmus University Rotterdam (EUR) - Department of Finance; Erasmus Research Institute of Management (ERIM)

May 10, 2014

AFA 2012 Chicago Meetings Paper

Abstract:     
We find that commodity risk is priced in the cross-section of US stock returns. Following the financialization of commodities, investors hedge commodity price risk directly in the futures market, primarily via commodity index investments, whereas before they gained commodity exposure mainly via the stock market. As a result, we find that the annualized average returns of high-minus-low commodity beta stocks change from -8% pre-financialization to 11% post-financialization. As stock market investors increasingly participate in commodity futures markets, stock market risk is also priced in the cross-section of commodity futures returns.

Number of Pages in PDF File: 54

Keywords: Asset pricing, Commodity futures markets, Commodity index investment, Commodity risk premium, Hedging

JEL Classification: G11, G12, G13

working papers series


Download This Paper

Date posted: March 18, 2011 ; Last revised: May 11, 2014

Suggested Citation

Boons, Martijn and de Roon, Frans and Szymanowska, Marta, The Price of Commodity Risk in Stock and Futures Markets (May 10, 2014). AFA 2012 Chicago Meetings Paper. Available at SSRN: http://ssrn.com/abstract=1785728 or http://dx.doi.org/10.2139/ssrn.1785728

Contact Information

Martijn Boons (Contact Author)
New University of Lisbon - Nova School of Business and Economics ( email )
Campus de Campolide
Lisbon, 1099-032
Portugal
Frans A. De Roon
Tilburg University - Department of Finance ( email )
P.O. Box 90153
Tilburg, 5000 LE
Netherlands
+31 1 3466 8361/3025 (Phone)
+31 1 3466 2875 (Fax)
Marta Szymanowska
Erasmus University Rotterdam (EUR) - Department of Finance ( email )
P.O. Box 1738
3000 DR Rotterdam
Netherlands
+31104089607 (Phone)
HOME PAGE: http://www.rsm.nl/mszymanowska
Erasmus Research Institute of Management (ERIM) ( email )
P.O. Box 1738
3000 DR Rotterdam
Netherlands
Feedback to SSRN


Paper statistics
Abstract Views: 4,675
Downloads: 801
Download Rank: 15,542
References:  43

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo2 in 0.312 seconds