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Commodity Futures and Spot Price Determination and Hedging in Capital Market Equilibrium

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  • Stoll, Hans R.

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Bibliographic Info

Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 14 (1979)
Issue (Month): 04 (November)
Pages: 873-894

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Handle: RePEc:cup:jfinqa:v:14:y:1979:i:04:p:873-894_00

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Cited by:
  1. Hector O. Zapata & T. RANDALL FORTENBERY, 1995. "Stochastic Interest Rates and Price Discovery in Selected Commodity Markets," Wisconsin-Madison Agricultural and Applied Economics Staff Papers 383, Wisconsin-Madison Agricultural and Applied Economics Department.
  2. Wang, Changyun, 2000. "Investor sentiment and return predictability in agricultural futures markets," MPRA Paper 36425, University Library of Munich, Germany, revised Sep 2002.
  3. de Roon, F.A. & Nijman, T.E. & Werker, B.J.M., 2000. "Currency Hedging for International Stock Portfolios," ERIM Report Series Research in Management ERS-2000-21-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
  4. Erkko Etula, 2009. "Broker-dealer risk appetite and commodity returns," Staff Reports 406, Federal Reserve Bank of New York.
  5. 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.
  6. Hector O. ZAPATA & T. Randall FORTENBERY, 1995. "Stochastic Interest Rates And Price Discovery In Selected Commodity Markets," Staff Papers 383, University of Wisconsin Madison, AAE.
  7. Carter, Colin A. & Rausser, Gordon C. & Schmitz, Andrew, 1982. "Efficient asset portfolios and the theory of normal backwardation," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt59c8m4x6, Department of Agricultural & Resource Economics, UC Berkeley.
  8. Roon, F.A. de & Nijman, T.E. & Werker, B.J.M., 1999. "Currency Hedging for International Stock Portfolios: A General Approach," Discussion Paper 1999-123, Tilburg University, Center for Economic Research.
  9. Adam, Tim R. & Fernando, Chitru S., 2006. "Hedging, speculation, and shareholder value," Journal of Financial Economics, Elsevier, vol. 81(2), pages 283-309, August.
  10. Wang, Changyun, 2004. "Futures trading activity and predictable foreign exchange market movements," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1023-1041, May.
  11. Pietz, Matthäus, 2009. "Risk premia in the German electricity futures market," CEFS Working Paper Series 2009-07, Center for Entrepreneurial and Financial Studies (CEFS), Technische Universität München.

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