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  "identification": {
   "estimand": "Predictive relation between lagged basis-momentum and subsequent commodity nearby/spreading returns, plus the factor risk premium on basis-momentum exposure",
   "strategy": "Univariate and double portfolio sorts, pooled predictive regressions with fixed effects, time-series spanning regressions against benchmark factor models, and cross-sectional asset pricing tests on portfolios and individual commodities; competing explanations assessed through conditioning and interaction tests",
   "key_assumptions": [
    "Characteristic is observable ex ante, so predictive regressions avoid look-ahead bias",
    "Test assets and benchmark factor models are appropriate for the cross-sectional pricing tests",
    "Proxies for volatility, liquidity, intermediary capital and trader positions capture the intended economic channels"
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    "claim": "Basis-momentum sorts produce strong nearby and spreading return spreads",
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    "claim": "Basis-momentum predicts commodity returns in pooled regressions controlling for benchmark characteristics and fixed effects",
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    "claim": "Basis-momentum factors earn large alphas relative to existing three-factor commodity models",
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    "claim": "Exposure to basis-momentum nearby factor is priced, with Sharpe ratio 0.55-0.85; two-factor model fits well",
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   {
    "claim": "Effect is similar across inventory/storability groups and appears in currencies, stock and bond indexes",
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    "claim": "Predictability is stronger with high speculator spreading pressure; robust to hedging pressure",
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   {
    "claim": "Basis-momentum returns increase with aggregate volatility; risk premium is consistent with volatility, liquidity, intermediary and downside risk pricing",
    "evidence_type": "table",
    "evidence_ref": "Tables VIII-X"
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  "structural_summary": "The paper introduces a new futures-curve characteristic and establishes its return predictability through sorts and pooled regressions. It then tests whether the characteristic is a priced factor using spanning and cross-sectional asset pricing tests. Next, it adjudicates among competing economic explanations: storage, hedging pressure, volatility, liquidity, intermediary and downside risk, rejecting the classical theories in favor of a speculator/intermediary risk channel. Extensions are relegated to an internet appendix. The introduction is organized as three numbered contributions.",
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