所属栏目:资本市场/资产定价

Commodity Risk Mispricing and the Cross-Section of Equity Returns
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发布日期:2026年10月21日 上次修订日期:2026年10月21日

摘要

We study whether commodity risk is efficiently priced in the cross-section of US equities. We first provide novel evidence on firm-level risk exposure to up to 42 individual commodities. We then construct a mispricing measure as the realized return less the commodity-risk-implied return, and find that it strongly predicts next-month return reversal beyond the traditional short-term reversal. This commodity-risk-mispricing reversal is substantially stronger among small, less analyst- or media-covered stocks, is weakly associated with investor sentiment, and is less prevalent among firms that engage in commodity hedging. In particular, underpricing among these hedgers often remains persistent and even intensifies after the 2004 financialization of commodity markets. This implies that despite the overall decline in mispricing, financialization has likely introduced more costs than benefits for corporate risk management.
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Mengmeng Dong; Rafael Baptista Palazzi Commodity Risk Mispricing and the Cross-Section of Equity Returns (2026年10月21日) https://www.cfrn.com.cn/lw/16910.html

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