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Consumption Risk in Futures Markets

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  • Breeden, Douglas T
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    Bibliographic Info

    Article provided by American Finance Association in its journal Journal of Finance.

    Volume (Year): 35 (1980)
    Issue (Month): 2 (May)
    Pages: 503-20

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    Handle: RePEc:bla:jfinan:v:35:y:1980:i:2:p:503-20

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    Cited by:
    1. Shi, Wei & Irwin, Scott H. & Good, Darrel L. & Dietz, Sarah N., 2005. "Wheat Forward Contract Pricing: Evidence on Forecast Power and Risk Premia," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19043, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    2. Laws, Jason & Thompson, John, 2004. "The efficiency of financial futures markets: Tests of prediction accuracy," European Journal of Operational Research, Elsevier, vol. 155(2), pages 284-298, June.
    3. Jeffrey A. Frankel, 2008. "The Effect of Monetary Policy on Real Commodity Prices," NBER Chapters, in: Asset Prices and Monetary Policy, pages 291-333 National Bureau of Economic Research, Inc.
    4. Daskalakis, George & Markellos, Raphael N., 2009. "Are electricity risk premia affected by emission allowance prices? Evidence from the EEX, Nord Pool and Powernext," Energy Policy, Elsevier, vol. 37(7), pages 2594-2604, July.
    5. Ebrahim, M. Shahid & Rahman, Shafiqur, 2005. "On the pareto-optimality of futures contracts over Islamic forward contracts: implications for the emerging Muslim economies," Journal of Economic Behavior & Organization, Elsevier, vol. 56(2), pages 273-295, February.
    6. Serena Ng & Francisco Ruge-Murcia, 1997. "Explaining the Persistence of Commodity Prices," Boston College Working Papers in Economics 374, Boston College Department of Economics.
    7. Shafiqur Rahman & M. Shahid Ebrahim, 2005. "The Futures Pricing Puzzle," Computing in Economics and Finance 2005 35, Society for Computational Economics.
    8. repec:dgr:uvatin:2010070 is not listed on IDEAS
    9. Erkko Etula, 2009. "Broker-dealer risk appetite and commodity returns," Staff Reports 406, Federal Reserve Bank of New York.
    10. Gemmill, Gordon, 1985. "Optimal hedging on futures markets for commodity-exporting nations," European Economic Review, Elsevier, vol. 27(2), pages 243-261, March.
    11. Daskalaki, Charoula & Kostakis, Alexandros & Skiadopoulos, George, 2014. "Are there common factors in individual commodity futures returns?," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 346-363.

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