Commodities as an Asset Class

Abstract

Four years ago, I came to Groningen to pursue my PhD in finance, especially focusing on asset pricing. It has been such a wonderful experience for me! Thanks to my daily supervisor, Lammertjan Dam, I engaged in many interesting topics. During the first year, he suggested me many courses related to asset pricing. These courses helped me have a systematic understanding of asset pricing and made me interested in this research area. So, I decided to change my PhD research plan to asset pricing at the end of the first year. I discussed this with Lammertjan and we wrote a completely new research proposal during the summer holiday after the first year. In hindsight, I can say it was the right decision and I am very happy with where I am now. Lammertjan is a super nice research partner and I enjoyed a lot working with him. We were stuck on a technical issue about taking logs with negative values for the first project for more than two years. In March 2022, he suddenly had some "crazy" ideas to solve the technical issue. We discussed a lot and working with him at that time was like a roller coaster. Finally, we ended up with nice math, estimations, and results and updated the project in the thesis. I saw his passion for research and I learned from him how to solve difficult issues step by step. That was an amazing March and I would never forget it. Now, I consider him an important friend. When I encountered frustration in research and in life, he was always there and gave me support and encouragement.Therefore, the first person I would like to thank is Lammertjan Dam. I enjoyed this journey with him.I would like to thank my promoter, Bert Scholtens. I learned a lot about academic writing from him. He let me know that quality is better than speed. He offered many comments on our papers and my PhD thesis, which were very helpful to improve the quality of my writing. He helped me a lot with the thesis, being also especially critical to the introduction and conclusion sections. He returned his hand-written comments faster than I expected and he patiently explained those ii comments to me. Those hand-written comments are a precious memory to me. I will put them in my place. In addition, I would like to thank Walt Pohl. I am so happy to collaborate with him on the first project. He provided many constructive comments, making the paper more solid and more convincing.There are many people that have been supportive, helpful, or simply pleasant colleagues during my PhD period, and I am very grateful for that. There are some people that I would like to thank in particular. First of all, I would like to thank the members of the doctoral dissertation committee: Robert Lensink, Tommy Lundgren, and Wolfgang Bessler. Furthermore, I would like to thank Jan Jacobs for his books and for his discussion of my paper at the SOM PhD conference. I still remembered the dinner with him and Zhongbo Jing. Also, I would like to thank the colleagues in the asset pricing group: