IDEAS home Printed from https://ideas.repec.org/p/cla/uclawp/037.html
   My bibliography  Save this paper

Speculation and Equilibrium:Information,Risk,and Markets

Author

Listed:
  • Jack Hirshleifer

    (UCLA)

Abstract

I. Price risk versus quantity risk, 520. — II. Noninformative equilibrium: simple consumptive gamble, 525. — III. Informative equilibrium: prior-trading optimum and compound consumptive gamble, 529. — IV. Conclusion: determinants of speculative-hedging behavior, 538. — V. Limitations and generalizations, 540.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Jack Hirshleifer, 1973. "Speculation and Equilibrium:Information,Risk,and Markets," UCLA Economics Working Papers 037, UCLA Department of Economics.
    • Handle: RePEc:cla:uclawp:037
    as

    Download full text from publisher

    File URL: http://www.econ.ucla.edu/workingpapers/wp037.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Leland L. Johnson, 1960. "The Theory of Hedging and Speculation in Commodity Futures," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 27(3), pages 139-151.
    2. Rockwell, Charles S., 1967. "Normal Backwardation, Forecasting, and the Return to Commodity Futures Traders," Food Research Institute Studies, Stanford University, Food Research Institute, vol. 7(Supplemen), pages 1-24.
    3. Jack Hirshleifer & Mark E. Rubinstein, 1973. "Speculation and Information in Securities Markets," UCLA Economics Working Papers 032, UCLA Department of Economics.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Carter, Colin A & Rausser, Gordon C & Schmitz, Andrew, 1983. "Efficient Asset Portfolios and the Theory of Normal Backwardation," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 319-331, April.
    2. Naik, Gopal & Leuthold, Raymond M., 1991. "A Note On The Factors Affecting Corn Basis Relationships," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 23(1), pages 1-7, July.
    3. Goss, Barry A., 1980. "Aspects Of Hedging Theory," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 24(3), pages 1-14, December.
    4. Tomek, William G. & Robinson, Kenneth L., 1977. "PART V. Agricultural Price Analysis and Outlook," AAEA Monographs, Agricultural and Applied Economics Association, number 337217.
    5. Guo, Kevin & Leung, Tim, 2017. "Understanding the non-convergence of agricultural futures via stochastic storage costs and timing options," Journal of Commodity Markets, Elsevier, vol. 6(C), pages 32-49.
    6. Darren Butterworth & Phil Holmes, 2005. "The Hedging Effectiveness of U.K. Stock Index Futures Contracts Using an Extended Mean Gini Approach: Evidence for the FTSE 100 and FTSE Mid250 Contracts," Multinational Finance Journal, Multinational Finance Journal, vol. 9(3-4), pages 131-160, September.
    7. Chan, Leo H. & Nguyen, Chi M. & Chan, Kam C., 2015. "A new approach to measure speculation in the oil futures market and some policy implications," Energy Policy, Elsevier, vol. 86(C), pages 133-141.
    8. Dahlgran, Roger A., 2007. "Inventory and Transformation Hedging Effectiveness in Corn Crushing," 2007 Conference, April 16-17, 2007, Chicago, Illinois 37557, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    9. David J. Pannell & Getu Hailu & Alfons Weersink & Amanda Burt, 2008. "More reasons why farmers have so little interest in futures markets," Agricultural Economics, International Association of Agricultural Economists, vol. 39(1), pages 41-50, July.
    10. Jerry A. Hammer, 1990. "Hedging Performance And Hedging Objectives: Tests Of New Performance Measures In The Foreign Currency Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(4), pages 307-323, December.
    11. Bullock, David W. & Wilson, William W. & Dahl, Bruce L., 2007. "Strategic use of futures and options by commodity processors," International Review of Economics & Finance, Elsevier, vol. 16(4), pages 578-591.
    12. Prehn, S. & Feil, J.-H., 2018. "What counter seasonal hedging is revealing about the motives of hedging," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277365, International Association of Agricultural Economists.
    13. Su, EnDer, 2013. "Stock index hedge using trend and volatility regime switch model considering hedging cost," MPRA Paper 49190, University Library of Munich, Germany.
    14. Billio, Monica & Casarin, Roberto & Osuntuyi, Anthony, 2018. "Markov switching GARCH models for Bayesian hedging on energy futures markets," Energy Economics, Elsevier, vol. 70(C), pages 545-562.
    15. Stavros Degiannakis & Christos Floros, 2010. "Hedge Ratios in South African Stock Index Futures," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 9(3), pages 285-304, December.
    16. Massimiliano Barbi & Silvia Romagnoli, 2016. "Optimal hedge ratio under a subjective re-weighting of the original measure," Applied Economics, Taylor & Francis Journals, vol. 48(14), pages 1271-1280, March.
    17. Andrea L. DeMaskey, 1997. "Single and Multiple Portfolio Cross-Hedging with Currency Futures," Multinational Finance Journal, Multinational Finance Journal, vol. 1(1), pages 23-46, March.
    18. Hou, Yang & Li, Steven, 2013. "Hedging performance of Chinese stock index futures: An empirical analysis using wavelet analysis and flexible bivariate GARCH approaches," Pacific-Basin Finance Journal, Elsevier, vol. 24(C), pages 109-131.
    19. Buhl, Hans Ulrich & Strauß, Sofie & Wiesent, Julia, 2011. "The impact of commodity price risk management on the profits of a company," Resources Policy, Elsevier, vol. 36(4), pages 346-353.
    20. Nicole M. Moran & Scott H. Irwin & Philip Garcia, 2020. "Who Wins and Who Loses? Trader Returns and Risk Premiums in Agricultural Futures Markets," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 42(4), pages 611-652, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cla:uclawp:037. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: David K. Levine (email available below). General contact details of provider: http://www.econ.ucla.edu/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.