This article uses the Expectations Hypothesis (EH), one of the oldest theories in finance, to extract the information contained in the term structure of commodity futures prices. Under the powerful framework provided by the EH, we find a significant amount of predictability in commodity futures...

This paper studies the relative importance of discount rates and cash flows with a focus on the differences between time-series and cross-sectional variance tests. I show that the following holds for the market, different types of portfolios, and individual stocks: (a) changes in expected...

Term premiums, defined as the excess return of long-dated contracts over short-dated contracts, in commodity futures are strongly predictable, both in the time series and in the cross section, by roll yield spreads. Strategies that exploit this predictability show sizable Sharpe ratios and are...