商品的等级效应
The Rank Effect for Commodities
摘要：
我们发现了两个世纪以来商品的一个巨大而显著的低-高排名效应。这种反常现象并没有什么反常之处，也不清楚它是如何被套利消除的。使用非参数计量经济学方法，我们证明了这样的排名效应是一个固定的相对资产价格分布的必然结果。我们使用每日商品期货价格证实了这一预测，并表明由排名较低，价格较低的商品组成的投资组合比由排名较高，价格较高的商品组成的投资组合的年回报率高出23%。这些超额收益率的夏普比率几乎是美国股票市场的两倍，但与市场风险无关。与大量关于资产定价因素和异常的文献相反，我们的结果是结构性的，并且依赖于相对资产价格长期行为的最小和现实的假设。
英文摘要：
We uncover a large and significant low-minus-high rank effect for commodities across two centuries. There is nothing anomalous about this anomaly, nor is it clear how it can be arbitraged away. Using nonparametric econometric methods, we demonstrate that such a rank effect is a necessary consequence of a stationary relative asset price distribution. We confirm this prediction using daily commodity futures prices and show that a portfolio consisting of lower-ranked, lower-priced commodities yields 23% higher annual returns than a portfolio consisting of higher-ranked, higher-priced commodities. These excess returns have a Sharpe ratio nearly twice as high as the U.S. stock market yet are uncorrelated with market risk. In contrast to the extensive literature on asset pricing factors and anomalies, our results are structural and rely on minimal and realistic assumptions for the long-run behavior of relative asset prices.
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