This paper investigates whether commodity‐related equities (commodity stocks) should be included in investors' portfolios. In light of the recent financialization of commodity futures markets, it examines the diversification benefits derived from investing in commodity stocks and compares them with those derived from commodity futures. The empirical evidence indicates that over the prefinancialization period, commodity futures provide superior diversification benefits whereas over the postfinancialization period, commodity stock investing is more profitable. Further analysis on the relationship between commodity futures and stock markets reveals that the investor can use price‐based signals from futures markets to achieve high commodity stock returns.

中文翻译：

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大宗商品库存的新证据

本文研究了是否应将与商品有关的股票（商品股票）纳入投资者的投资组合。鉴于最近商品期货市场的金融化，它研究了从投资商品股票中获得的多样化收益，并将其与从商品期货中获得的收益进行了比较。经验证据表明，在前金融化时期，商品期货提供了卓越的多元化收益，而在后金融化时期，商品股票投资更有利可图。对商品期货和股票市场之间关系的进一步分析表明，投资者可以使用来自期货市场的基于价格的信号来获得高商品股票收益。