Is there a low-risk premium in commodity markets?

• Autor(a) principal: Brunner, Felix
• Data de Publicação: 2016
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10362/18649
• topic: Commodity futures returns; cross-sectional asset pricing; Low risk anomaly; Alternative risk premia; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

This paper examines the existence of a low-risk anomaly in the asset class of commodity futures. Using dynamic market betas as ranking variable for sorted portfolios, results indicate that significant factors can be constructed by slightly altering the parameters used in previous literature. When additional asset-specific risk measures are incorporated to sort assets into longshort portfolios, especially low-drawdown portfolios yield abnormal returns with regards to the benchmarks. Although not constituting an anomaly, findings on the compensation of tail risks in the form of kurtosis, that consistently showed up significant throughout robustness tests, are also reported.