| ID | 66121 |
| Author |
Nakagawa, Kei
Nomura Asset Management Co. Ltd
Sakemoto, Ryuta
Okayama University, Keio Economic Observatory, Keio University
ORCID
Kaken ID
publons
researchmap
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| Abstract | This study investigates whether commodity futures factor portfolios work as hedges and safe havens against inflation shocks. We observe that momentum, basis momentum, and a combination of factor portfolios act as strong hedges against core inflation shocks, suggesting that holding the factor portfolios generates not only higher Sharpe ratios but also strong hedge effects against inflation. Moreover, the momentum, basis momentum, and value portfolios have weak safe haven properties against inflation shocks. In addition, our empirical results suggest that hedge effects for commodity future portfolios are stronger during the pre-financialization period.
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| Keywords | Commodity futures
Factor investment
Hedgen
Safe have
Inflation
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| Note | © 2023 Elsevier Inc. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/
This fulltext file will be available in Oct. 2025.
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| Published Date | 2023-12
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| Publication Title |
Finance Research Letters
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| Volume | volume58
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| Publisher | Elsevier BV
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| Start Page | 104585
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| ISSN | 1544-6123
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| Content Type |
Journal Article
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| language |
English
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| OAI-PMH Set |
岡山大学
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| Copyright Holders | © 2023 Elsevier Inc.
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| File Version | author
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| DOI | |
| Web of Science KeyUT | |
| Related Url | isVersionOf https://doi.org/10.1016/j.frl.2023.104585
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| License | https://creativecommons.org/licenses/by-nc-nd/4.0/
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| Funder Name |
Japan Society for the Promotion of Science
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| 助成番号 | 22K13430
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