The LME is a major international commodity exchange for industrial metals. Both futures contracts and spot metals are traded there, and the textbook principle of the futures-spot convergence precisely holds there. In this paper, we formulate two claims about spot and futures return prediction. First, the predictors of futures price return should also predict spot price return with the same signs and magnitudes under certain conditions. Second, the futures-spot basis is an exception. These claims lead to testable hypotheses, and provide theory-based restrictions for the coefficients of spot and futures return regressions. We investigate six industrial metals and find empirical support for our hypotheses. The in-sample and out-of-sample evidence shows that financial variables, proxies for global economic activities, and the basis predict futures and spot price returns consistently with our hypotheses. Furthermore, our out-of-sample trading exercises document economic significance of the restrictions.

LME 是主要的工业金属国际商品交易所。期货合约和现货金属都在那里交易，而教科书的期货-现货趋同原理正是在那里交易的。在本文中，我们提出了关于现货和期货收益预测的两个主张。首先，期货价格收益的预测因子也应该在一定条件下以相同的符号和幅度预测现货价格的收益。其次，期货现货基差是一个例外。这些主张导致了可检验的假设，并为现货和期货收益回归的系数提供了基于理论的限制。我们调查了六种工业金属，并为我们的假设找到了经验支持。样本内和样本外的证据表明，金融变量、全球经济活动的代理、基础预测期货和现货价格回报与我们的假设一致。此外，我们的样本外交易活动记录了这些限制的经济意义。