As the tree of life is populated with sequenced genomes ever more densely, the new challenge is the accurate and consistent annotation of entire clades of genomes. We address this problem with a new approach to comparative gene finding that takes a multiple genome alignment of closely related species and simultaneously predicts the location and structure of protein-coding genes in all input genomes, thereby exploiting negative selection and sequence conservation. The model prefers potential gene structures in the different genomes that are in agreement with each other, or-if not-where the exon gains and losses are plausible given the species tree. We formulate the multi-species gene finding problem as a binary labeling problem on a graph. The resulting optimization problem is NP hard, but can be efficiently approximated using a subgradient-based dual decomposition approach.