Abstract

http://ssrn.com/abstract=996930
 
 

References (48)



 
 

Citations (56)



 


 



The Fundamentals of Commodity Futures Returns


Gary B. Gorton


Yale School of Management; National Bureau of Economic Research (NBER)

Fumio Hayashi


Hitotsubashi University; National Bureau of Economic Research (NBER)

K. Geert Rouwenhorst


Yale School of Management - International Center for Finance

February 7, 2012

Yale ICF Working Paper No. 07-08

Abstract:     
Commodity futures risk premiums vary across commodities and over time depending on the level of physical inventories. The convenience yield is a decreasing, non-linear 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 dataset on 31 commodity futures and physical inventories between 1971 and 2010. While the positions of participants in futures markets vary with both returns and the state of inventories, we find no evidence that they predict risk premiums on commodity futures.

Number of Pages in PDF File: 62

Keywords: Commodity, Futures, Theory of Storage, Inventories, Backwardation, Hedging Pressure, Futures Trading

JEL Classification: G13, M41

working papers series


Download This Paper

Date posted: June 28, 2007 ; Last revised: February 7, 2012

Suggested Citation

Gorton, Gary B. and Hayashi, Fumio and Rouwenhorst, K. Geert, The Fundamentals of Commodity Futures Returns (February 7, 2012). Yale ICF Working Paper No. 07-08. Available at SSRN: http://ssrn.com/abstract=996930

Contact Information

Gary B. Gorton
Yale School of Management ( email )
135 Prospect Street
P.O. Box 208200
New Haven, CT 06520-8200
United States
203 432-8931 (Fax)
HOME PAGE: http://mba.yale.edu/faculty/profiles/gorton.shtml
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Fumio Hayashi
Hitotsubashi University ( email )
2-1-2 Hitotsubashi
Chiyoda-ku
Tokyo, 101-8349
Japan
HOME PAGE: http://fhayashi.fc2web.com/
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
K. Geert Rouwenhorst (Contact Author)
Yale School of Management - International Center for Finance ( email )
135 Prospect Street
P.O. Box 208200
New Haven, CT 06520-8200
United States
203-432-6046 (Phone)
203-432-8931 (Fax)
HOME PAGE: http://som.yale.edu/~geert/

Feedback to SSRN


Paper statistics
Abstract Views: 33,526
Downloads: 11,744
Download Rank: 135
References:  48
Citations:  56

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo7 in 0.265 seconds