Title: Long-run reversal in commodity returns: Insights from seven centuries of evidence
Authors: Adam Zaremba - University of Dubai (United Arab Emirates)
Robert Bianchi - Griffith University (Australia)
Mateusz Mikutowski - Poznan University of Economics and Business (Poland)
Adam Zaremba - University of Dubai (United Arab Emirates) [presenting]
Abstract: The longest study of long-run reversal in commodity returns ever conducted is performed. Using a unique dataset of prices of 52 agricultural, industrial, and energy commodities, we examine the price behaviour for the years 1265 to 2017. The findings reveal a strong and robust long-run reversal effect. The returns of the past one to three years negatively predict subsequent performance in the cross-section of returns. The long-run reversal effect is present in both agricultural and non-agricultural commodity returns across all centuries and is independent of market states. The long-run reversal cannot be explained by macroeconomic risks. The phenomenon is elevated in more volatile commodities and in periods of high return dispersion.