The Fundamentals of Commodity Futures Returns
Gary B. Gorton,
Fumio Hayashi and
Review of Finance, 2013, vol. 17, issue 1, pages 35-105
Commodity futures risk premiums vary across commodities and over time depending on the level of physical inventories. The convenience yield is a decreasing, nonlinear function of inventories. Price measures, such as the futures basis, prior futures returns, prior spot returns, and spot price volatilities reflect the state of inventories and are informative about commodity futures risk premiums. We verify these theoretical predictions using a comprehensive data set on 31 commodity futures and physical inventories between 1971 and 2010. We find no evidence that the positions of participants in futures markets predict risk premiums on commodity futures. Copyright 2013, Oxford University Press.
References: Add references at CitEc
Citations View citations in EconPapers (62) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
Working Paper: The Fundamentals of Commodity Futures Returns (2008)
Working Paper: The Fundamentals of Commodity Futures Returns (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:oup:revfin:v:17:y:2013:i:1:p:35-105
Ordering information: This journal article can be ordered from
Access Statistics for this article
Review of Finance is currently edited by Josef Zechner and Marco Pagano
More articles in Review of Finance from European Finance Association Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK. Contact information at EDIRC.
Series data maintained by Oxford University Press ().