The Fundamentals of Commodity Futures Returns
The Fundamentals of Commodity Futures Returns
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DOI：
10.1093/rof/rfs019
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发表时间：
2013-01-01
影响因子：
4.4
通讯作者：
Rouwenhorst, K. Geert
中科院分区：
文献类型：
--
作者：
Gorton, Gary B.;Hayashi, Fumio;Rouwenhorst, K. Geert
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.
