Anomalies in Commodity Futures Markets: Risk or Mispricing?

65 Pages Posted: 27 Apr 2020

See all articles by Fabian Hollstein

Fabian Hollstein

Leibniz University Hannover - School of Economics and Management

Marcel Prokopczuk

Leibniz Universität Hannover - Faculty of Economics and Management; University of Reading - ICMA Centre

Björn Tharann

Leibniz Universität Hannover

Date Written: April 3, 2020

Abstract

In recent years, commodity markets have become increasingly popular among financial investors. In contrast to traditional markets such as equities or bonds for which many studies have identified various profitable investment strategies, less is known for commodity markets. In this paper, we therefore examine prominent (anomaly) variables in commodity futures markets. We identify sizable premia for jump risk, momentum, and volatility-of-volatility. Other prominent variables, such as downside beta, idiosyncratic volatility, and MAX, are not priced in commodity futures markets. Based on the specific features of commodity futures we draw implications as to whether return premia are driven by behavioral distortions.

Keywords: Anomalies, commodity futures markets, behavioral finance, systematic risk

JEL Classification: G10, G11, G17

Suggested Citation

Hollstein, Fabian and Prokopczuk, Marcel and Tharann, Björn, Anomalies in Commodity Futures Markets: Risk or Mispricing? (April 3, 2020). Available at SSRN: https://ssrn.com/abstract=3567629 or http://dx.doi.org/10.2139/ssrn.3567629

Fabian Hollstein (Contact Author)

Leibniz University Hannover - School of Economics and Management ( email )

Koenigsworther Platz 1
Hannover, 30167
Germany

Marcel Prokopczuk

Leibniz Universität Hannover - Faculty of Economics and Management ( email )

Koenigsworther Platz 1
Hannover, 30167
Germany

University of Reading - ICMA Centre ( email )

Whiteknights Park
P.O. Box 242
Reading RG6 6BA
United Kingdom

Björn Tharann

Leibniz Universität Hannover ( email )

Welfengarten 1
D-30167 Hannover, 30167
Germany

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