Brooks, Chris; Fernandez-Perez, Adrian; Miffre, Joëlle; … - Henley Business School, University of Reading - 2014
The article examines whether commodity risk is priced in the cross-section of equity returns. Alongside a long …-only equally-weighted portfolio of commodity futures, we employ as an alternative commodity risk factor a term structure portfolio … greater sensitivities to the two commodity risk factors command higher average returns. The two commodity portfolios are also …