{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,27]],"date-time":"2026-10-27T17:37:28Z","timestamp":1793122648457,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>This paper examines whether net-trading-based factors in commodity futures markets represent priced sources of systematic risk. Motivated by evidence that trader position changes predict returns, we construct risk factors based on commercial and non-commercial net trading and hedging pressure, alongside traditional commodity characteristics. Using both two-pass and three-pass estimation procedures, we test factor strength and pricing. While two-pass results suggest significant premia for net-trading factors, the three-pass procedure shows they are weak and not priced. In contrast, momentum, skewness, basis, basis momentum, and hedging pressure emerge as strong, priced factors, indicating compensation for systematic commodity risk.<\/jats:p>","DOI":"10.2139\/ssrn.7665620","type":"posted-content","created":{"date-parts":[[2026,10,27]],"date-time":"2026-10-27T17:17:07Z","timestamp":1793121427000},"source":"Crossref","is-referenced-by-count":0,"title":["Identifying Strong and Priced Risk Factors in Commodity Futures Markets"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-4944-592X","authenticated-orcid":true,"given":"Yiyi","family":"Qin","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-5162-4372","authenticated-orcid":true,"given":"Jun","family":"Cai","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-1714-5778","authenticated-orcid":true,"given":"Robert I.","family":"Webb","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,27]],"date-time":"2026-10-27T17:17:07Z","timestamp":1793121427000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7665620"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7665620","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}