The cross section of Chinese commodity futures return
This paper investigates the cross-section of expected commodity futures returns in China using a large panel of 13 individual factors. We find that 6 out of 13 individual factors produce positive and significant returns. To aggregate the information among these factors, we apply not only the traditi...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
KeAi Communications Co., Ltd.
2021-06-01
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| Series: | Journal of Management Science and Engineering |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2096232021000147 |