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dc.contributor.authorBianchi, RJ
dc.contributor.authorFan, JH
dc.contributor.authorZhang, T
dc.date.accessioned2021-04-22T04:37:59Z
dc.date.available2021-04-22T04:37:59Z
dc.date.issued2021
dc.identifier.issn0378-4266
dc.identifier.doi10.1016/j.jbankfin.2021.106127
dc.identifier.urihttp://hdl.handle.net/10072/403900
dc.description.abstractWe investigate the investability of commodity risk premia in China. Previously documented standard momentum, carry and basis-momentum factors are not investable due to the unique liquidity patterns along the futures curves in China. However, dynamic rolling and strategic portfolio weights significantly boost the investment capacity of such premia without compromising its statistical and economic significance. Meanwhile, style integration delivers enhanced performance and improved opportunity sets. Furthermore, the observed investable premia are robust to execution lags, stop-loss, illiquidity, sub-period specifications, seasonality and transaction costs. They also offer portfolio diversification for investors. Finally, investable commodity premia in China reveal strong predictive ability with global real economic growth.
dc.description.peerreviewedYes
dc.languageen
dc.publisherElsevier BV
dc.relation.ispartofpagefrom106127
dc.relation.ispartofjournalJournal of Banking and Finance
dc.relation.ispartofvolume127
dc.subject.fieldofresearchBanking, Finance and Investment
dc.subject.fieldofresearchApplied Mathematics
dc.subject.fieldofresearchEconomic Theory
dc.subject.fieldofresearchcode1502
dc.subject.fieldofresearchcode0102
dc.subject.fieldofresearchcode1401
dc.subject.keywordsChina
dc.subject.keywordsCommodity Futures
dc.subject.keywordsMomentum
dc.subject.keywordsCarry
dc.subject.keywordsCapacity
dc.titleInvestable commodity premia in China
dc.typeJournal article
dc.type.descriptionC1 - Articles
dcterms.bibliographicCitationBianchi, RJ; Fan, JH; Zhang, T, Investable commodity premia in China, Journal of Banking and Finance, 2021, 127, pp. 106127
dc.date.updated2021-04-22T03:11:04Z
gro.hasfulltextNo Full Text
gro.griffith.authorBianchi, Robert
gro.griffith.authorZhang, Tingxi
gro.griffith.authorFan, John H.


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