Investing in commodity futures markets: can pricing models help?

摘要

This article empirically investigates whether continuous time pricing models are able to help reveal mis-priced commodity futures contracts. Mispricings are identified based on the difference between model and observed prices, using four different pricing models for four different commodity markets, namely crude oil, copper, silver, and gold. Pricing errors are found to carry informational content for future price movements in excess of the overall market. Investment strategies based on these pricing errors yield significant excess returns, particularly for the relatively small copper and silver markets.