We perform the longest study of long-run reversal in commodity returns. Using a unique dataset of 52 agricultural, industrial, and energy commodities, we examine the price behavior for the years 1265 to 2017. The findings reveal a strong and robust long-run reversal effect. The returns of the past one to three years negatively predict subsequent performance in the cross-section of returns. The effect is robust to extensive subsample and subperiod analysis, and not driven by statistical biases, extreme events, or macroeconomic risks. Our findings support the explanation that the long-term reversal originates from supply and demand adjustments following price changes. Finally, the phenomenon is elevated in more volatile commodities and in periods of high return dispersion.

我们对商品回报的长期逆转进行了最长的研究。我们使用包含 52 种农业、工业和能源商品的独特数据集，研究了 1265 年至 2017 年的价格行为。研究结果揭示了强大而稳健的长期逆转效应。过去一到三年的回报对回报横截面的后续表现产生负面预测。这种效应对广泛的子样本和子周期分析是稳健的，不受统计偏差、极端事件或宏观经济风险的驱动。我们的研究结果支持了长期逆转源于价格变化后供需调整的解释。最后，这种现象在波动较大的商品和高回报分散时期会加剧。