The fundamentals of commodity futures returns

Review of Finance

Volumn 17, Issue 1, 2013, Pages 35-105

  Gorton, Gary B ^a,b   Hayashi, Fumio ^b,c   Rouwenhorst, K Geert ^a  

^a YALE UNIVERSITY   (United States)

^b NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

^c HITOTSUBASHI UNIVERSITY   (Japan)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84871192702     PISSN: 15723097     EISSN: 1573692X     Source Type: Journal    
DOI: 10.1093/rof/rfs019     Document Type: Article

References (52)

1. Acharya, V., Lochstoer, L., and Ramadorai, T. (2010) Limits to arbitrage and hedging: Evidence from commodity markets. Unpublished working paper, New York University, Columbia Business School, University of Oxford.
2. Bessembinder, H. (1992) Systematic risk, hedging pressure, and risk premiums in futures markets, Review of Financial Studies 5, 637-667.
3. Bodie, Z. and Rosansky, V. (1980) Risk and return in commodity futures, Financial Analysts Journal 36, 27-39.
4. Brennan, M. (1991) The price of convenience and the valuation of commodity contingent claims, in: D. Lund and B. Oksendal (eds), Stochastic Models and Option Values, Emerald Group Publishing, North Holland (Amsterdam).
5. Brennan, M. (1958) The supply of storage, American Economic Review 48, 50-72.
6. Brennan, M. and Schwartz, E. (1985) Evaluating natural resource investments, Journal of Business 58, 135-157.
7. Bresnahan, T. and Spiller, P. (1986) Futures market backwardation under risk neutrality, Economic Inquiry 24, 429-441.
8. Bryant, H., Bessler, D., and Haigh, M. (2006) Causality in future markets, Journal of Futures Markets 26, 1039-1057.
9. Carbonez, K., Nguyen, V., and Sercu, P. (2009) Do inventories really yield a convenience? An empirical analysis of the risk-adjusted spread. Unpublished working paper, Katholieke Universiteit Leuven.
10. Carter, C., Rausser, G., and Schmitz, A. (1983) Efficient asset portfolios and the theory of normal backwardation, Journal of Political Economy 91, 319-331.
11. Chang, E. (1985) Returns to speculators and the theory of normal backwardation, Journal of Finance 40, 193-208.
12. De Roon, F., Nijman, T., and Veld, C. (2000) Hedging pressure effects in futures markets, Journal of Finance 55, 1437-1456.
13. Deaton, A. and Laroque, G. (1992) On the behavior of commodity prices, Review of Economic Studies 59, 1-23.
14. Dusak, K. (1973) Futures trading and investor returns: An investigation of commodity market risk premiums, Journal of Political Economy 81, 1387-1406.
15. Dhume, D. (2010) Using durable consumption risk to explain commodity returns. Unpublished working paper, Harvard University.
16. Dincerler, C., Khokher, Z., and Simin, T. (2005) An empirical analysis of commodity convenience yields. Unpublished working paper, McKinsey & Co. Inc., University of Western Ontario, Pennsylvania State University.
17. Ederington, L. and Lee, J. (2001) Who trades futures and how: Evidence from the heating oil futures market, Journal of Business 75, 353-373.
18. Erb, C. and Harvey, C. (2006) The strategic and tactical value of commodity futures, Financial Analysts Journal 62, 69-97.
19. Etula, E. (2010) Broker-dealer risk appetite and commodity returns. Federal Reserve Bank of New York Staff Report, no. 406.
20. Evans, L. and Guthrie, G. (2008) Commodity price behavior with storage frictions. Unpublished working paper, Victoria University of Wellington.
21. Fama, E. and French, K. (1988) Business cycles and the behavior of metals prices, Journal of Finance 43, 1075-1093.
22. Fama, E. and French, K. (1987) Commodity futures prices: Some evidence on forecast power, premiums, and the theory of storage, Journal of Business 60, 55-73.
23. Gorton, G. and Rouwenhorst, K. (2005) A note on Erb and Harvey (2005). Unpublished working paper, Yale School of Management.
24. Gorton, G. and Rouwenhorst, K. (2006) Facts and fantasies about commodity futures, Financial Analysts Journal 62, 47-68.
25. Green, P. and Silverman, B. (1994) Nonparametric Regression and Generalized Linear Models, Chapman & Hall/CRC Press, Boca Raton, Florida.
26. Hayashi, F. (2000) Econometrics, Princeton University Press, Princeton, New Jersey.
27. Heinkel, R., Howe, M., and Hughes, J. (1990) Commodity convenience yields as an option profit, Journal of Futures Markets 10, 519-533.
28. Hicks, J. R. (1939) Value and Capital, Oxford University Press, Cambridge, UK.
29. Hirshleifer, D. (1990) Hedging pressure and futures price movements in a general equilibrium model, Econometrica 58, 411-428.
30. Hirshleifer, D. (1988) Residual risk, trading costs and commodity futures risk premia, Review of Financial Studies 1, 173-193.
31. Hong, H. and Yogo, M. (2012) What does futures market interest tell us about the macroeconomy and asset prices? Journal of Financial Economics 105, 473-490.
32. Jaganathan, R. (1985) An investigation of commodity futures prices using the consumption-based intertemporal capital asset pricing model, Journal of Finance 40, 175-191.
33. Kaldor, N. (1939) Speculation and economic stability, Review of Economic Studies 7, 1-27.
34. Keynes, J. (1930) A Treatise on Money, Vol. 2, Macmillan, London.
35. Khan, S., Khokher, Z., and Simin, T. (2008) Expected commodity futures returns. Unpublished working paper, University of Western Ontario, Pennsylvania State University.
36. Kolb, R. (1992) Is normal backwardation normal?, Journal of Futures Markets 12, 75-91.
37. Litzenberger, R. and Rabinowitz, N. (1995) Backwardation in oil futures markets: Theory and empirical evidence, Journal of Finance 50, 1517-1545.
38. Mayers, D. (1972) Non-marketable assets and capital market equilibrium under uncertainty, in: M. Jensen (ed.), Studies in the Theory of Capital Markets, Praeger, New York City, New York.
39. Miffre, J. and Rallis, G. (2007) Momentum in commodity futures markets, Journal of Banking and Finance 31, 1863-1886.
40. Ng, V. and Pirrong, S. (1994) Fundamentals and volatility: Storage, spreads, and the dynamics of metals prices, Journal of Business 67, 203-230.
41. Pindyck, R. (1994) Inventories and the short-run dynamics of commodity prices, RAND Journal of Economics 25, 141-159.
42. Pirrong, C. (2005) Momentum in futures markets. Unpublished working paper, University of Houston.
43. Routledge, B., Seppi, D., and Spatt, C. (2000) Equilibrium forward curves for commodities, Journal of Finance 55, 1297-1338.
44. Schwartz, E. (1997) The stochastic behavior of commodity prices: Implications for valuation and hedging, Journal of Finance 52, 923-973.
45. Shen, Q., Szakmary, A., and Sharma, S. (2007) An examination of momentum strategies in commodity futures markets, Journal of Futures Markets 26, 227-256.
46. Stoll, H. (1979) Commodity futures and spot price determination and hedging in capital market equilibrium, Journal of Financial and Quantitative Analysis 14, 873-894.
47. Szymanowska, M. (2006) Essays on rational asset pricing, PhD dissertation, Tilburg University.
48. Szymanowska, M., de Roon, F., Nijman, T., and van den Goorbergh, R. (2011) An anatomy of commodity futures risk premia. Unpublished working paper, Erasmus University Rotterdam, Tilburg University.
49. Turnovsky, S. (1983) The determination of spot and futures prices with storable commodities, Econometrica 51, 1363-1387.
50. Van den Goorbergh, R. (2004) Essays on optimal hedging, and investment strategies, and on derivative pricing, PhD dissertation, Tilburg University.
51. Working, H. (1949) The theory of the price of storage, American Economic Review 39, 1254-1262.
52. Yogo, M. (2006) A consumption-based explanation of expected stock returns, Journal of Finance 61, 539-580.