Gorton, Gary; Hayashi, Fumio; Rouwenhorst, K. Geert - 2007
"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 … measures, such as the futures basis, prior futures returns, and spot returns reflect the state of inventories and are …