This article extracts a term structure factor from the industrial commodity futures prices in the Chinese market. It finds that this factor has a significant positive predictive power for the next-day returns of supply-chain-related stocks from 2016. This predictive power cannot be explained by common stock pricing factors, commodity futures market price time series, trend factors, and curvature factors. Additionaly, this predictive power diminishes in the medium and long term. This indicates that the Chinese commodity futures market has become a marketplace that rapidly reflects the real economy and expectations of the commodity market. The industrial term structure factor captures the risk compensation for stock-out demanded by futures market participants. Its cross-market flow is primarily in the form of private information, transmitting to industrial sector stocks via intraday trading, and subsequently spreading to other sectors and the entire stock market. This predictive power results from to the process of delayed response and information absorption caused by the lack of expertise of stock market investors in the industrial sector.