NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

The Fundamentals of Commodity Futures Returns

Gary B. Gorton, Fumio Hayashi, K. Geert Rouwenhorst

NBER Working Paper No. 13249
Issued in July 2007

---- Acknowledgements -----

The paper has benefited from comments by seminar participants at McGill University. We thank Dimitry Gupalo for research assistance, and AIG Financial Products and the Q-Group for financial support. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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