近日，北京师范大学湾区国际商学院特聘副研究员韩梦博士以独立作者身份在金融衍生品领域重要期刊《Journal of Futures Markets》上发表了题为《Commodity momentum and reversal: Do they exist, and if so, why?》的研究论文。
Questions as to why differences in momentum and reversal patterns seem to emerge in commodity futures compared with spot markets, and how these patterns can be explained, remain unanswered. To investigate these questions, I examine 23 commodities over a period of 60 years. I first show that including the net convenience yield in the definition of commodity spot returns reconciles the differences in the results for commodity spot and futures markets. Both commodity futures and spot markets exhibit quantitatively consistent momentum and reversal effects. An initial momentum effect is followed by a reversal effect and then another momentum effect. These observed patterns in commodities can be jointly explained by a combination of traditional asset pricing factors and a basis factor related to the net convenience yield.