| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w10595 |
| 来源ID | Working Paper 10595 |
| Facts and Fantasies about Commodity Futures | |
| Gary Gorton; K. Geert Rouwenhorst | |
| 发表日期 | 2004-06-28 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | We construct an equally-weighted index of commodity futures monthly returns over the period between July of 1959 and March of 2004 in order to study simple properties of commodity futures as an asset class. Fully-collateralized commodity futures have historically offered the same return and Sharpe ratio as equities. While the risk premium on commodity futures is essentially the same as equities, commodity futures returns are negatively correlated with equity returns and bond returns. The negative correlation between commodity futures and the other asset classes is due, in significant part, to different behavior over the business cycle. In addition, commodity futures are positively correlated with inflation, unexpected inflation, and changes in expected inflation. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w10595 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/568224 |
| 推荐引用方式 GB/T 7714 | Gary Gorton,K. Geert Rouwenhorst. Facts and Fantasies about Commodity Futures. 2004. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w10595.pdf（1542KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
