| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w13249 |
| 来源ID | Working Paper 13249 |
| The Fundamentals of Commodity Futures Returns | |
| Gary B. Gorton; Fumio Hayashi; K. Geert Rouwenhorst | |
| 发表日期 | 2007-07-12 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | Commodity futures risk premiums vary across commodities and over time depending on the level of physical inventories, as predicted by the Theory of Storage. Using a comprehensive dataset on 31 commodity futures and physical inventories between 1969 and 2006, we show that the convenience yield is a decreasing, non-linear relationship of inventories. Price measures, such as the futures basis, prior futures returns, and spot returns reflect the state of inventories and are informative about commodity futures risk premiums. The excess returns to Spot and Futures Momentum and Backwardation strategies stem in part from the selection of commodities when inventories are low. Positions of futures markets participants are correlated with prices and inventory signals, but we reject the Keynesian "hedging pressure" hypothesis that these positions are an important determinant of risk premiums. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w13249 |
| 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/570919 |
| 推荐引用方式 GB/T 7714 | Gary B. Gorton,Fumio Hayashi,K. Geert Rouwenhorst. The Fundamentals of Commodity Futures Returns. 2007. |
| 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 | ||
| w13249.pdf（417KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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