Commodities as an Asset Class

Commodities have become increasingly important as an additional source of diversification. However, commodities are relatively unexplored as an asset class. Within the context of the financialization of commodity markets, we study three fundamental questions about commodities as an asset class: What determines commodity prices, why do some commodities offer higher returns than other commodities, and is there momentum in commodity markets? In this thesis, the net convenience yield as a latent payoff of a commodity is in particular taken into account to answer these questions.