Lutzenberger, Fabian T. - In: Review of Financial Economics 23 (2014) 3, pp. 120-130
This paper provides evidence that aggregate returns on commodity futures (without the returns on collateral) are predictable, both in-sample and out-of-sample, by various lagged variables from the stock market, bond market, macroeconomics, and the commodity market. Out of the 32 candidate...