Li, Bin; Sun, Cheng; Zhou, Yang - In: Journal of management science and engineering 6 (2021) 2, pp. 146-164
This paper investigates the cross-section of expected commodity futures returns in China using a large panel of 13 individual factors. We find that 6 out of 13 individual factors produce positive and significant returns. To aggregate the information among these factors, we apply not only the...