Commodity Risks and the Cross-Section of Equity Returns

Chris Brooks, Adrian Fernandez-Perez, Joëlle Miffre, Ogonna Nneji: The article examines whether commodity risk is priced in the cross-section of global equity returns.

Author(s):

Chris Brooks

ICMA Centre, Henley Business School, University of Reading

Adrian Fernandez-Perez

Department of Finance, Auckland University of Technology

Joelle Miffre

EDHEC Business School

Ogonna Nneji

ICMA Centre, Henley Business School, University of Reading

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.

Type: Working paper
Date: le 31/07/2015
Research Cluster : Finance

See Also

Immersion at Station F for start-up challenge finalists !
News
- 13-10-2021
Devised for students with start-up projects on the Pre-Master and Master 1 years of the...
Financing your MBA - are you eligible for a scholarship?
News
- 12-10-2021
How to finance your Global MBA abroad is a critical question you need to think about...
Apprenticeship program: a perfect combination of academic knowledge and professional experience
News
- 12-10-2021
Yiqing Ma joined EDHEC Apprenticeship Track in 2019. She shares insights into the...
CRÉDIT AGRICOLE NORD DE FRANCE, AMUNDI AND CRÉDIT AGRICOLE CIB, PARTNERS OF EDHEC BUSINESS SCHOOL’S MSC IN CLIMATE CHANGE & SUSTAINABLE FINANCE
News
- 08-10-2021
Three major players in the Crédit Agricole Group operating in the banking and finance...