Anomalies in Commodity Futures Markets

Quarterly Journal of Finance (2021) Vol. 11(4), 2150017

56 Pages Posted: 27 Apr 2020 Last revised: 29 Nov 2021

See all articles by Fabian Hollstein

Fabian Hollstein

Leibniz University Hannover - School of Economics and Management

Marcel Prokopczuk

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

Björn Tharann

Leibniz Universität Hannover

Date Written: April 3, 2020

Abstract

In recent years, commodity markets have become increasingly popular among financial investors. While previous studies document a factor structure, not much is known about how prominent anomalies are priced in commodity futures markets. We examine a large set of such anomaly variables. We identify sizable premia for jump risk, momentum, skewness, and volatility-of-volatility. Other prominent variables, such as downside beta, idiosyncratic volatility, and MAX, are not priced in commodity futures markets. Commodity investors should rebalance their portfolios regularly. Returns for annual holding periods are substantially weaker than for monthly rebalancing.

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

JEL Classification: G10, G11, G17

Suggested Citation

Hollstein, Fabian and Prokopczuk, Marcel and Prokopczuk, Marcel and Tharann, Björn, Anomalies in Commodity Futures Markets (April 3, 2020). Quarterly Journal of Finance (2021) Vol. 11(4), 2150017, 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

HOME PAGE: http://sites.google.com/view/fabianhollstein/home

Marcel Prokopczuk

University of Reading - ICMA Centre ( email )

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

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

Koenigsworther Platz 1
Hannover, 30167
Germany

Björn Tharann

Leibniz Universität Hannover ( email )

Welfengarten 1
D-30167 Hannover, 30167
Germany

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