【NAFR Working Paper No.2507】Factor Momentum in China’s Commodity Markets
发布日期:2025-06-20来源:Author Information:
Feiyang Li, School of Statistics, Renmin University of China, Beijing, China
Jian Lei,PBC School of Finance, Tsinghua University, Beijing, China
Ke Wu,School of Finance, Renmin University of China, Beijing, China
Abstract:
We investigate cross-sectional and time-series factor momentum using 12 common factors in China’s commodity markets. A time-series momentum strategy that goes long on factors with positive past returns and shorts those with negative returns generates a significant monthly return of 0.41%, subsuming the cross-sectional factor momentum effect. Additionally, we identify a regime shift in commodity factor pricing following China’s supply-side structural reforms in 2017. Specifically, the primary pricing factors transitioned from macroeconomic variables to financial variables, signaling a pronounced trend toward financialization. Our study bridges the gap between factor momentum strategies and their macroeconomic linkages.