This paper builds on the latter literature on the commodity futures markets and undertakes, for the first time, an in-depth analysis on the investment properties of commodity-related equities (commodity stocks). The empirical evidence suggests that there have been changes in the diversification...

We propose a novel measure of the ex-ante commodity downside-risk premium (CDP) for each commodity based on a term structure model of commodity futures. Our theory-based CDP, capturing forward-looking information in the futures markets, outperforms well-known characteristics in explaining the...