Cheng, Daxuan; Liao, Yin; Pan, Zheyao - 2022
returns. By estimating the exposure of commodity futures returns on a geopolitical risk index, we find that commodities with … high-risk beta generate 7.92% higher annual returns than those with low-risk beta. The results indicate that high …In this study, we investigate whether geopolitical risk is a pricing factor in cross-sectional commodity futures …