We find that commodity risk is priced in the cross-section of US stock returns. Following the financialization of … commodities, investors hedge commodity price risk directly in the futures market, primarily via commodity index investments … market investors increasingly participate in commodity futures markets, stock market risk is also priced in the cross …

We analyze the variance risk of commodity markets. We construct synthetic variance swaps and find significantly … futures returns, indicating that variance risk is unspanned by commodity futures …

We propose a novel measure of the ex-ante commodity downside-risk premium (CDP) for each commodity based on a term …

Using 10-year option and future data of global market, the risk-neutral skewness, estimated by model-free method has … extra 8.3% return annually. The higher (lower) current risk-neutral skewness, the lower (higher) the subsequent return. The … two-step regression shows that risk-neutral skewness has negative relation on the future return. This result is robust to …