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Publicação
Basis-momentum
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Orientador(es)
Resumo(s)
We introduce a return predictor related to the slope and curvature of the futures term structure: basis-momentum. Basis-momentum strongly outperforms benchmark characteristics in predicting commodity spot and term premiums in both the time series and the cross section. Exposure to basis-momentum is priced among commodity-sorted portfolios and individual commodities. We argue that basis-momentum captures imbalances in the supply and demand of futures contracts that materialize when the market-clearing ability of speculators and intermediaries is impaired, and that it represents compensation for priced risk. Our findings are inconsistent with alternative explanations based on storage, inventory, and hedging pressure.
Descrição
Funding agency: Fundação para a Ciencia e Tecnologia (grant nr. UID/ECO/00124/2013), POR Lisboa (grant nr. LISBOA-01-0145-FEDER-007722) and POR Norte (Social Sciences DataLab grant nr 2209)
Palavras-chave
Accounting Finance Economics and Econometrics