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Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums

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Dusak, Katherine
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Article provided by University of Chicago Press in its journal Journal of Political Economy.

Volume (Year): 81 (1973)
Issue (Month): 6 (Nov.-Dec.)
Pages: 1387-1406
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Handle: RePEc:ucp:jpolec:v:81:y:1973:i:6:p:1387-1406

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  1. Patricia Fraser, Andrew J. McKaig, 2001. "Basis variation and a common source of risk: evidence from UK futures markets," European Journal of Finance, Taylor and Francis Journals, vol. 7(1), pages 39-62, March. [Downloadable!] (restricted)
  2. Goss, Barry A., 1980. "Aspects Of Hedging Theory," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 24(03), December. [Downloadable!]
  3. Deaves, Richard & Charupat, Narat, 2002. "Backwardation and Normal Backwardation in Energy Futures Markets. : With an Application to Metallgesellschaft?s Short-Dated Rollover Hedging of Long-Term Contracts," ZEW Discussion Papers 02-59, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
  4. Joelle Miffre, 2003. "The cross section of expected futures returns and the Keynesian hypothesis," Applied Financial Economics, Taylor and Francis Journals, vol. 13(10), pages 731-739, October. [Downloadable!] (restricted)
  5. Jeffrey A. Frankel, 2006. "The Effect of Monetary Policy on Real Commodity Prices," NBER Working Papers 12713, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  6. Gary B. Gorton & Fumio Hayashi & K. Geert Rouwenhorst, 2007. "The Fundamentals of Commodity Futures Returns," NBER Working Papers 13249, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  7. Lin, Hua & Fortenbery, T. Randall, 2006. "Risk Premiums and the Storage of Agricultural Commodities," Staff Paper Series 504, University of Wisconsin, Agricultural and Applied Economics. [Downloadable!]
  8. J. Huston McCulloch, 1978. "The Pricing of Short-Lived Options When Price Uncertainty Is Log-Symmetric Stable," NBER Working Papers 0264, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  9. Severin Borenstein & Meghan Busse & Ryan Kellogg, 2007. "Principal-agent Incentives, Excess Caution, and Market Inefficiency: Evidence From Utility Regulation," NBER Working Papers 13679, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  10. Giles, David E. A. & Goss, Barry A., 1981. "Futures Prices As Forecasts Of Commodity Spot Prices: Live Cattle And Wool," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 25(01), April. [Downloadable!]
  11. 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. [Downloadable!]
  12. Pindyck, Robert S., 1991. "The present value model of rational commodity pricing," Working papers 3354-91., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
    Other versions:
  13. Urcola, Hernan A. & Irwin, Scott H., 2006. "Has the Performance of the Hog Options Market Changed?," 2006 Annual meeting, July 23-26, Long Beach, CA 21479, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  14. Siaplay, Mounir & Anderson, Kim B. & Brorsen, B. Wade, 2007. "Using Basis and Futures Prices as a Barometer in Deciding Whether to Store Grain or Not," 2007 Conference, April 16-17, 2007, Chicago, Illinois 37575, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [Downloadable!]
  15. Frans A. de Roon & Rob W. J. van den Goorbergh & Theo E. Nijman, 2004. "An Anatomy of Futures Returns: Risk Premiums and Trading Strategies," WO Research Memoranda (discontinued) 757, Netherlands Central Bank, Research Department. [Downloadable!]
  16. Shafiqur Rahman & M. Shahid Ebrahim, 2005. "The Futures Pricing Puzzle," Computing in Economics and Finance 2005 35, Society for Computational Economics. [Downloadable!]
  17. Bryant, Henry L. & Bessler, David A. & Haigh, Michael S., 2003. "Causality In Futures Markets," Working Papers 28574, University of Maryland, Department of Agricultural and Resource Economics. [Downloadable!]
  18. Serena Ng & Francisco Ruge-Murcia, 1997. "Explaining the Persistence of Commodity Prices," Boston College Working Papers in Economics 374, Boston College Department of Economics. [Downloadable!]
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