The DOI matches its Crossref record; 28 of the 28 references it cites were found in a registry or an index.
Facts and Fantasies about Commodity Futures
Abstract
For this study of the simple properties of commodity futures as an asset class, an equally weighted index of monthly returns of commodity futures was constructed for the July 1959 through December 2004 period. Fully collateralized commodity futures historically have offered the same return and Sharpe ratio as U.S. equities. Although the risk premium on commodity futures is essentially the same as that on equities for the study period, commodity futures returns are negatively correlated with equity returns and bond returns. The negative correlation is the result, primarily, of commodity futures' different behavior over a business cycle. Commodity futures are positively correlated with inflation, unexpected inflation, and changes in expected inflation.
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Cites
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
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“Options, Futures, and Other Derivatives”
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Moffitt, R. A. (2009) · American Economic Review · doi:10.1257/aer.99.2.660 · Cited by 4,694
Options, Futures and Other Derivatives
Kariya, T., & Liu, R. Y. (2003) · Asset Pricing · doi:10.1007/978-1-4419-9230-7_2 · Cited by 3,864
Oil and the Macroeconomy since World War II
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The pricing of commodity contracts
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STOCK PRICES, REAL ACTIVITY, INFLATION AND MONEY
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Cited by
Financialization of commodity markets
Cheng, I.-H., & Xiong, W. (2014) · Annual Review of Financial Economics · doi:10.1146/annurev-financial-110613-034432 · Cited by 810
Financialization, crisis and commodity correlation dynamics
Silvennoinen, A., & Thorp, S. (2013) · Journal of International Financial Markets, Institutions and Money · doi:10.1016/j.intfin.2012.11.007 · Cited by 650
Speculators, commodities and cross-market linkages
Büyükşahin, B., & Robe, M. A. (2014) · Journal of International Money and Finance · doi:10.1016/j.jimonfin.2013.08.004 · Cited by 616
Index Funds, Financialization, and Commodity Futures Markets
Irwin, S. H., & Sanders, D. R. (2011) · Applied Economic Perspectives and Policy · doi:10.1093/aepp/ppq032 · Cited by 488
Financialization in commodity markets: A passing trend or the new normal?
Adams, Z., & Glück, T. (2015) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2015.07.008 · Cited by 372
Metadata
- Authors
- Gorton, G., & Rouwenhorst, K. G.
- Venue
- Financial Analysts Journal
- Publisher
- Informa UK Limited
- Published
- 2006-03
- Volume
- 62
- Issue
- 2
- Pages
- 47-68
- ISSN
- 0015-198X (ISSN-L)
- 1938-3312
- OpenAlex
- W3124837614
- Cited by
- 1,358
- References
- 28
- FWCI
- 48.82
- Type
- journal article
- Language
- en
- Open access
- closed
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
