The Fundamentals of Commodity Futures Returns

By Gary B. Gorton, F. Hayashi, K. Rouwenhorst. 2007

751 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ee3a9b4424e9bc18587ef2dc5c9e54e28f2e8f24

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Liyan Yang
2. Lasse Heje Pedersen
3. Itay Goldstein
4. Tobias J. Moskowitz
5. Ing-Haw Cheng
6. George Panayotov
7. Gurdip Bakshi
8. M. Pisani

In Economics and Econometrics

1. Ing-Haw Cheng
2. Scott H. Irwin
3. Lasse Heje Pedersen
4. D. R. Sanders
5. Yao Hua Ooi
6. Tobias J. Moskowitz
7. Liyan Yang
8. Susan Thorp

In Finance

1. Ing-Haw Cheng
2. Lasse Heje Pedersen
3. Scott H. Irwin
4. D. R. Sanders
5. Yao Hua Ooi
6. Tobias J. Moskowitz
7. Liyan Yang
8. Susan Thorp

Citations in the corpus

• The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity (2010, background): “…the behavior of commodity prices varies over the business cycle (Fama and French (1988a)), and also with the strand of research that explores the time variation in expected commodity returns (e.g., Bessembinder and Chan (1992), Gorton, Hayashi, and Rouwenhorst (2008), and Hong and Yogo (2010)).”
• Conditional Risk Premia in Currency Markets and Other Asset Classes (2014, neutral): “The pricing errors for these three portfolios are 0.24%, 0.22%, and 16 See also Gorton, Hayashi, and Rouwenhorst (2013).”
• Speculation and Hedging in Segmented Markets (2014, positive): “By contrast, the literature has largely ignored this channel because most models are conducted in a setup without asymmetric information (see, e.g., Hirshleifer 1988a, 1988b; Gorton, Hayashi, and Rouwenhorst 2013).”
• The Financialization of Commodity Markets (2014, background): “First, there is a positive correlation between the futures spread and commodity inventory, which Gorton, Hayashi, and Rouwenhorst (2013) confirm using detailed inventory data in a large set of commodities.”
• Financialization, Crisis and Commodity Correlation Dynamics (2013, background): “Academic studies generally view ‘non-commercial’traders as …nancial investors (Gorton et al. 2007), since this category includes primarily money managers or speculators.”
• A speculative bubble in commodity futures prices? Cross-sectional evidence (2009, background): “The vast majority of empirical evidence presented by academic researchers fails to find any relationship between positions held by large traders and subsequent price behavior (e.g., Bryant, Bessler, and Haigh 2006; Gorton, Hayashi, and Rouwenhorst 2007; Sanders, Irwin, and Merrin 2009).”
• Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies (2017, neutral): “1See http://www.investopedia.com/articles/trading/08/turtle-trading.asp 2For example, we can cite Elton et al. (1987), Likac et al. (1988), Taylor and Tari (1989), Erb and Harvey (2006), Szakmary et al. (2010) and Gorton et al (2013).”
• The Skewness of Commodity Futures Returns (2018, neutral): “Acknowledging that backwardation (contango) signals a likely rise (fall) in futures prices, such long-short portfolios buy backwardated commodities described by lower standardized inventories (Fama and French, 1987; Symeonidis et al., 2012; Gorton et al., 2013), downward sloping forward”