Facts and Fantasies about Commodity Futures

By Gary B. Gorton, K. Rouwenhorst. 2006

1,460 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a65250adb6e349828fbaa4960bce1dc915e1726d

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Citations in the corpus

Demystifying Time‐Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations (2020, neutral): “Among others, see Bessembinder (1992), Bessembinder (1993), Gorton and Rouwenhorst (2006), Gorton, Hayashi and Rouwenhorst (2007), Miffre and Rallis (2007), Pesaran, Schleicher and Zaffaroni (2009), Fuertes, Miffre and Rallis (2010) and Moskowitz et al. (2012).”
Tactical Allocation in Commodity Futures Markets: Combining Momentum and Term Structure Signals (2010, positive): “, Erb and Harvey (2006) and Gorton and Rouwenhorst (2006) introduce a new dynamic asset allocation strategy that seeks to exploit the term structure of commodity futures prices by taking long positions in backwardated contracts and short positions in contangoed ones.”
Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat (2014, background): “Gorton and Rouwenhorst (2006) find that commodity futures returns are negatively correlated with the returns on equities.”
Super Cycles in Real Metals Prices? (2008, background): “Good examples of the former approach include Maxwell (1999); Heap (2005) and (2007); Radetzki (2006); and Tilton (2006).”
Index Investment and the Financialization of Commodities (2012, background): “Several observers and policymakers (see, e.g., Masters 2008; U.S. Senate Permanent Subcommittee on Investigations 2009) have expressed a strong concern that index investment as a form of financial speculation might have caused unwarranted increases in the cost of energy and food and induced…”
Multi-asset portfolio optimization and out-of-sample performance: an evaluation of Black–Litterman, mean-variance, and naïve diversification approaches (2017, positive): “Usually the risk of commodities is similar to equities (Bodie and Rosansky 1980; Gorton and Rouwenhorst 2006) and substantially larger than for bonds.”
Financialization and Structural Change in Commodity Futures Markets (2012, background): “Key among these studies were Gorton and Rouwenhorst (2006) and Table 3.”
Should Investors Include Commodities in Their Portfolios After All? New Evidence (2011, neutral): “In fact, a number of empirical studies have confirmed this type of correlation over certain periods of time (see e.g., Bodie and Rosansky, 1980, Erb and Harvey, 2006, Gorton and Rouwenhorst, 2006, Büyükşahin et al., 2010, Chong and Miffre, 2010).”