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 … informative about commodity futures risk premiums. The excess returns to Spot and Futures Momentum and Backwardation strategies … an important determinant of risk premiums"--National Bureau of Economic Research web site …