Content
February 1987, Volume 7, Issue 1
- 93-101 Funds protections: An overview of what happens when a commodity broker becomes insolvent
by William F. Tueting & Christopher Q. King - 103-107 Stable distributions, futures prices, and the measurement of trading performance: A reply
by J. Austin Murphy - 109-110 Legal and regulatory developments. The exchange‐trading requirement of the commodity exchange act
by Frederick L. White - 111-113 Futures bibliography
by Robert T. Daigler
December 1986, Volume 6, Issue 4
- 513-521 The daily distribution of changes in the price of stock index futures
by Edward A. Dyl & Edwin D. Maberly - 523-540 Testing the rationality of futures prices for selected LDC agricultural exports
by Indira Rajaraman - 541-564 Returns to storage in coffee and cocoa futures markets
by Sarahelen Thompson - 565-574 Trader concentration effects in live cattle futures
by Charles M. Oellerman & Paul L. Farris - 575-591 Asymmetric arbitrage in futures markets: An empirical study
by Da‐Hsiang Donald Lien - 593-618 Options on futures contracts: A comparison of European and American pricing models
by Kuldeep Shastri & Kishore Tandon - 619-627 A theoretical analysis of the volatility premium in the dollar index contract
by Corey B. Redfield - 629-643 On the informational role of treasury bill futures
by Shantaram P. Hegde & Bill McDonald - 645-657 The joint effect of housing start and inflation announcements on GNMA futures prices
by Anand K. Bhattacharya - 659-670 Dispute resolution systems in the commodity futures industry
by James J. Moylan & Laren Ukman - 671-676 A note on agricultural options and the variance of futures prices
by Nikolaos T. Milonas - 677-680 Response to a comment on “stable distributions, futures prices, and the measurement of trading performance”
by Ronald W. Cornew - 681-681 Trading tactics
by Mark J. Powers & Todd Lofton - 683-685 Legal and regulatory developments
by Frederick L. White - 687-691 Futures Bibliography
by Robert T. Daigler
September 1986, Volume 6, Issue 3
- 343-373 Foreign currency futures and monetary policy announcements: An intervention analysis
by John Doukas & Abdul Rahman - 375-383 The effect of monetary surprises on financial futures prices
by R. S. Woodward - 385-395 The informational content of the interday price change with respect to stock index futures
by Edwin D. Maverly - 397-407 Weekend and day of the week effects in returns on stock index futures
by Joan C. Junkus - 409-419 A further investigation of the day‐of‐the‐week effect in the gold market
by Christopher K. Ma - 421-431 Optimal commodity hedging within the capital asset pricing model
by Gary E. Bond & Stanley R. Thompson - 433-442 Arbitrage opportunities with T‐bill/T‐bond futures combinations
by John C. Easterwood & A. J. Senchack Jr. - 443-460 Price variability and the maturity effect in futures markets
by Nikolaos T. Milonas - 461-475 The certificate system for delivery in live cattle: Conceptual issues and measures of performance
by Wayne D. Purcell & Michael A. Hudson - 477-493 The relative efficiency of the gold and treasury bill futures markets
by Margaret A. Monroe & Richard A. Cohn - 495-501 Note on initial margin to net asset value: Average values for the commodity pool industry
by Ronald W. Cornew - 503-504 Legal and regulatory developments
by Frederick L. White & William Stein - 505-506 Stable distributions, futures prices, and the measurement of trading performance: A comment
by John Doukas & Abdul Rahman - 507-509 Futures Bibliography
by Robert T. Daigler
June 1986, Volume 6, Issue 2
- 175-185 Futures fund performance: A test of the effectiveness of technical analysis
by J. Austin Murphy - 187-205 Effects of expected cash and futures prices on hedging and production
by Frances Antonovitz & Terry Roe - 207-222 Taxes and the hedging of forward commitments
by Robert L. McDonald - 223-230 Predicting changes in T‐bond futures spreads using implied yields from T‐bill futures
by Charles A. Akemann - 231-248 The quality option in the treasury bond futures market: An empirical assessment
by Alex Kane & Alan J. Marcus - 249-259 Forward cash contracting of cotton
by Stephen E. Miller - 261-271 The effects of margins on trading in futures markets
by Raymond P. H. Fishe & Lawrence G. Goldberg - 273-288 On marketing strategies with options: A technique to measure risk and return
by R. J. Hauser & J. S. Eales - 289-305 Hedging effectiveness of currency options and currency futures
by Jack S. K. Chang & Latha Shanker - 307-324 A comparative analysis of futures contract margins
by Gerald D. Gay & William C. Hunter & Robert W. Kolb - 325-333 Insider trading in futures markets: A discussion
by Stephen J. Dinehart - 335-338 Futures bibliography
by Robert T. Daigler
March 1986, Volume 6, Issue 1
- 1-10 Lead‐lag relationships between trading volume and price variability: New evidence
by Philip Garcia & Raymond M. Leuthold & Hector Zapata - 11-27 Hedging shelf registrations
by Don M. Chance & M. Wayne Marr & G. Rodney Thompson - 29-39 The causal relationship between futures price volatility and the cash price volatility of GNMA securities
by Anand K. Bhattacharya & Anju Ramjee & Balasubramani Ramjee - 41-61 Trading treasury bond spreads against treasury bill futures—a model and empirical test of the turtle trade
by Joel C. Rentzler - 63-70 Can a dynamic strategy replicate the returns of an option?
by Michael Asay & Charles Edelsburg - 71-81 The hedging performance of the CD futures market
by James A. Overdahl & Dennis R. Starleaf - 83-92 Portfolio model hedging with canadian dollar futures: A framework for analysis
by Harry S. Marmer - 93-108 On the use of European models to price American options on foreign currency
by Kuldeep Shastri & Kishore Tandon - 109-125 Random walk profits in currency futures trading
by Lee R. Thomas III - 127-140 Sample path properties of futures prices
by David H. Goldenberg - 141-166 Economic costs and benefits of the proposed one—minute time bracketing regulation
by Sanford J. Grossman & Merton H. Miller - 167-171 Futures bibliography
by Robert T. Daigler
December 1985, Volume 5, Issue 4
- 489-504 Hedging against Price Index Inflation with Futures Contracts
by Anthony F. Herbst - 505-515 Reexamination of Normal Backwardation Hypothesis in Futures Markets
by Hun Y. Park - 517-527 The Timing Performance of Small Traders
by Eric C. Chang & Richard A. Stevenson - 529-538 Futures or Cash: Which Market Leads Live Beef Cattle Prices?
by Charles M. Oellermann & Paul L. Farris - 539-577 Pricing Options on Agricultural Futures: Departures from Traditional Theory
by Robert J. Hauser & David Neff - 579-594 Spreading between the Gold and Silver Markets: Is There a Parity?
by Christopher K. Ma - 595-605 Optimal Futures Hedging in the Presence of Asymmetric Information
by Nabil T. Khoury & Jean‐Marc Martel - 607-620 An Efficiency Analysis of the T‐Bond Futures Market
by Robert C. Klemkosky & Dennis J. Lasser - 621-624 A Note: Hedging Market Risk for Capital Investment Projects
by Richard J. Dowen - 625-631 The Foreign Currency Futures Market: Some Reflections on Competitiveness and Growth
by Norman S. Fieleke - 633-641 Futures Trading and the Price Volatility of GNMA Certificates—Further Evidence
by Eugene J. Moriarty & Paula A. Tosini - 643-644 Legal Notes
by Ronald J. Horowitz - 645-649 Futures Bibliography
by Robert T. Daigler
September 1985, Volume 5, Issue 3
- 297-309 Combining price forecasting with hedging of hogs: An evaluation using alternative measures of risk
by Matthew T. Holt & Jon A. Brandt - 311-316 Wood products futures markets and the reservation price of timber
by Peter Berck & Thomas Bible - 317-330 Variable‐rate loan commitments, deposit withdrawal risk, and anticipatory hedging
by G. D. Koppenhaver - 331-348 Some determinants of the volatility of futures prices
by Ronald W. Anderson - 349-359 Are foreign currency options overvalued? The early experience of the Philadelphia stock exchange
by Laurie S. Goodman & Susan Ross & Frederick Schmidt - 361-374 An empirical analysis of the delivery option, marking to market, and the pricing of treasury bond futures
by Simon Benninga & Michael Smirlock - 375-384 The currency futures market and interbank foreign exchange trading
by Eric V. Clifton - 385-405 A semi‐strong form test of the efficiency of the treasury bond futures market
by Don M. Chance - 407-424 An empirical analysis of arbitrage opportunities in the treasury bill futures market
by Shantaram P. Hegde & Ben Branch - 425-432 Testing futures market efficiency—A restatement
by Edwin D. Maberly - 433-446 Dependency and efficiency in the London terminal markets
by Peter J. W. N. Bird - 447-449 A comment on Figlewski's “hedging with stock index futures: Theory and application in a new market”
by Ira Kawaller - 451-452 Comment on Feuerstein's “trading bond spreads in the delivery month”
by Stan Jonas - 453-454 Legal notes
by Ronald J. Horowitz - 455-460 Futures bibliography
by Robert T. Daigler - 463-485 Public futures funds
by Scott H. Irwin & B. Wade Brorsen
June 1985, Volume 5, Issue 2
- 149-171 Public futures funds
by Scott H. Irwin & B. Wade Brorsen - 173-182 An empirical test of a duration‐based hedge: The case of corporate bonds
by William J. Landes & John D. Stoffels & James A. Seifert - 183-199 Hedging with stock index futures: Theory and application in a new market
by Stephen Figlewski - 201-222 Use of three stock index futures in hedging decisions
by Joan C. Junkus & Cheng F. Lee - 223-237 Estimating stock index futures volatility through the prices of their options
by Hun Y. Park & R. Stephen Sears - 239-246 Effects of the Economic Recovery Tax Act of 1981 on futures market volume
by Kandice H. Kahl - 247-258 Pricing options on agricultural futures: An application of the constant elasticity of variance option pricing model
by Jin W. Choi & Francis A. Longstaff - 259-272 An examination of the distribution of futures price changes
by Billy P. Helms & Terrence F. Martell - 273-286 Interest rate volatility, trading volume, and the hedging performance of T‐bond and GNMA futures—A note
by Shantaram P. Hegde & Kenneth P. Nunn Jr. - 287-288 Legal notes
by Ronald J. Horowitz - 289-295 Futures bibliography
by Robert T. Daigler
March 1985, Volume 5, Issue 1
- 1-10 Efficiency and efficient trading rules for food and feed grains in the world commodity markets: The Israeli experience
by David Bigman & David Goldfarb - 11-20 The systematic downward bias in live cattle futures: A further evaluation
by Darwin M. Pluhar & Carl E. Shafer & Thomas L. Sporleder - 21-28 Simple and multiple cross‐hedging of millfeeds
by Stephen E. Miller - 29-43 The degree of price resolution: The case of the gold market
by Clifford A. Ball & Walter N. Torous & Adrian E. Tschoegl - 45-55 A measure of hedging's performance
by Ray D. Nelson & Robert A. Collins - 57-76 Efficiency of commodity futures: A vector autoregression analysis
by Giorgio Canarella & Stephen K. Pollard - 77-88 Differences between futures and forward prices: A further investigation of the marking‐to‐market effects
by Hun Y. Park & Andrew H. Chen - 89-101 Taxes and the pricing of stock index futures: Empirical results
by Bradford Cornell - 103-112 The economics of performance margins in futures markets
by Kandice H. Kahl & Roger D. Rutz & Jeanne C. Sinquefield - 113-114 Memory in commodity futures contracts: A comment
by Nicholaos T. Milonas & Peter E. Koveos & G. Geoffrey Booth - 115-119 Conversion factor risk in treasury bond futures: Comment
by Robert A. Jones - 121-125 On commodity market risk premiums: Additional evidence
by Jennefer Baxter & Thomas E. Conine Jr. & Maurry Tamarkin - 127-129 Legal notes
by Ronald J. Horowitz - 131-143 Futures bibliography
by Robert T. Daigler
December 1984, Volume 4, Issue 4
- 449-464 Country hedging for real income stabilization: A case study of south korea and egypt
by Kathryn M. Gordon & Gordon C. Rausser - 465-478 Can chartists outperform the market? market efficiency tests for “technical analysis”
by Salih N. Neftci & Andrew J. Policano - 479-490 Futures contract options
by George S. Oldfield & Carlos E. Rovira - 491-512 Options of futures: Pricing and the effect of an anticipated price change
by Avner Wolf - 513-530 Risk and returns from alternative marketing strategies for corn producers
by Larry J. Martin & David Hope - 531-557 Stable distributions, futures prices, and the measurement of trading performance
by Ronald W. Cornew & Donald E. Town & Lawrence D. Crowson - 559-567 Memory in commodity futures contracts
by Billy P. Helms & Fred R. Kaen & Robert E. Rosenman - 569-577 Treasury bond futures delivery bias
by James F. Meisner & John W. Labuszewski - 579-583 Trading bond spreads in the delivery month
by Jay R. Feuerstein - 585-586 Legal notes
by Ronald J. Horowitz - 587-589 Futures bibliography
by Robert T. Daigler
September 1984, Volume 4, Issue 3
- 237-271 Futures markets: Their purpose, their history, their growth, their successes and failures
by Dennis W. Carlton - 273-295 Customer protection in futures and securities markets
by Daniel R. Fischel & Sanford J. Grossman - 297-332 The regulation of futures contract innovations in the united states
by Ronald W. Anderson - 333-366 A legal and economic analysis of manipulation in futures markets
by Linda N. Edwards & Franklin R. Edwards - 367-384 Regulatory structure in futures markets: Jurisdictional competition between the sec, the cftc, and other agencies
by Edward J. Kane - 385-416 Margins and market integrity: Margin setting for stock index futures and options
by Stephen Figlewski - 417-447 The impact of financial futures and options on capital formation
by Dwight M. Jaffee
June 1984, Volume 4, Issue 2
- 115-123 Cash‐and‐carry trading and the pricing of treasury bill futures
by Ira G. Kawaller & Timothy W. Koch - 125-132 The behavior of event‐related returns on oil futures contracts
by Dennis W. Draper - 133-140 Intertemporal price volatility of foreign currency futures contracts
by Robert M. Eldridge - 141-154 Profitable hedging opportunities and risk premiums for producers in live cattle and live hog futures markets
by Marvin L. Hayenga & Dennis D. Dipietre & J. Marvin Skadberg & Ted C. Schroeder - 155-159 The optimal hedge ratio in unbiased futures markets
by Simon Benninga & Rafael Eldor & Itzhak Zilcha - 161-172 The cheapest deliverable bond for the cbt treasury bond futures contract
by Miles Livingston - 173-187 An immunization strategy for futures contracts on government securities
by Donald R. Chambers - 189-211 Risk premiums in futures markets: An empirical investigation
by Jacques Raynauld & Jacques Tessier - 213-224 The mexican peso and the chicago international money market: A case. Study in foreign currency futures
by Joseph E. Finnerty - 225-228 Removing bias in duration based hedging models: A note
by Gerald D. Gay & Robert W. Kolb - 229-230 Legal notes
by Ronald J. Horowitz - 231-234 Futures bibliography
by Robert T. Daigler
March 1984, Volume 4, Issue 1
- 1-13 Reducing inter‐temporal risk in financial futures hedging
by Mark Pitts & Robert W. Kopprasch - 15-23 Random processes in prices and technical analysis
by William G. Tomek & Scott F. Querin - 25-38 Does the treasury bond futures market destabilize the treasury bond cash market?
by Gary A. Bortz - 39-46 Spread volatility in commodity futures: The length effect
by Mark G. Castelino & Ashok Vora - 47-54 Macro versus micro futures hedges at commercial banks
by Robert W. Kolb & Stephen G. Timme & Gerald D. Gay - 55-64 Conversion factor risk and hedging in the treasury‐bond futures market
by Alex Kane & Alan J. Marcus - 65-73 Techniques for making decisions under uncertainty
by Fred Gehm - 75-85 Equivalent delivery procedures for gnma futures contracts and options
by Walter L. Eckardt Jr. - 87-102 Stock index futures contracts and separability of returns
by Anthony F. Herbst & Nicholas O. Ordway - 103-104 Legal notes
by Ronald J. Horowitz - 105-109 Futures bibliography
by Robert T. Diagler
December 1983, Volume 3, Issue 4
- 345-353 Hedging corporate debt with U.S. treasury bond futures
by Robert C. Kuberek & Norman G. Pefley - 355-368 Designing spreads in forward exchange contracts and foreign exchange futures
by Michael Adler - 369-392 The clearing association in futures markets: Guarantor and regulator
by Franklin R. Edwards - 393-401 Allocating nonreported futures commitments
by Ronald W. Ward & Robert M. Behr - 403-413 Hedging performance of GNMA futures under rising and falling interest rates
by Joanne Hill & Joseph Liro & Thomas Schneeweis - 415-427 Accounting for interest rate futures in bank asset‐liability management
by Laurie S. Goodman & Martha J. Langer - 429-438 Cross hedging CDs with treasury bill futures
by Andrew J. Senchack Jr. & John C. Easterwood - 439-450 Pricing commodities when both price and output are uncertain
by Robert M. Conroy & Richard J. Rendleman Jr. - 451-472 Cash settlement of futures contracts: An economic analysis
by Kenneth D. Carbade & William L. Silber - 473-474 Fred Gehm, Commodity Market Money Management, John Wiley and Sons, New York, 1983, 361 pp
by Perry J. Kaufman - 475-476 Legal notes
by Ronald J. Horowitz - 477-479 Futures bibliography
by Robert T. Daigler
September 1983, Volume 3, Issue 3
- 235-258 The impact of the Futures Trading Act of 1982 upon commodity regulation
by Jeffrey S. Rosen - 259-281 Preference space evaluation of trading system performance
by Norman D. Strahm - 283-293 Commercial banks and interest rate futures: A hedging survey
by E. Theodore Veit & Wallace W. Reiff - 295-305 Stability and the hedging performance of foreign currency futures
by Theoharry Grammatikos & Anthony Saunders - 307-319 The forward pricing efficiency of the live cattle futures market
by G. D. Koppenhaver - 321-334 Futures market efficiency and the time content of the information sets
by David Bigman & David Goldfarb & Edna Schechtman - 335-338 A note on the design of commodity option contracts: A reply
by Michael R. Asay - 339-340 Legal notes
by Ronald J. Horowitz - 341-344 Futures bibliography
by Robert T. Daigler
June 1983, Volume 3, Issue 2
- 113-135 Commercial use and speculative measures of the livestock commodity futures markets
by Raymond M. Leuthold - 137-141 A note on hedging and solvency: The case of a phoenix
by Jack M. Guttentag - 143-166 Foreign exchange options
by Ian H. Giddy - 167-176 An overview of the USDA crop and livestock information system
by Walter Spilka Jr. - 177-184 Interest rate risk, prepayment risk, and the futures market hedging strategies of financial intermediaries
by Carl Alan Batlin - 185-190 The phased‐in money market certificate hedge
by Jeffrey K. Speakes - 191-206 Futures markets in transition: The uneasy balance between government and self‐regulation
by Franklin R. Edwards - 207-224 Futures trading liquidity: An application of a futures trading model
by Ronald W. Ward & Robert M. Behr - 225-226 Comment on “Usefulness of Treasury Bill Futures As Hedging Instruments”
by David H. Goldenberg - 227-229 Legal notes
by Ronald J. Horowitz - 231-234 Futures Bibliography
by Robert T. Daigler
March 1983, Volume 3, Issue 1
- 1-14 The pricing of stock index futures
by Bradford Cornell & Kenneth R. French - 15-41 The relationship between spot and futures prices in stock index futures markets: Some preliminary evidence
by David M. Modest & Mahadevan Sundaresan - 43-46 A note on the design of commodity options contracts: A comment
by Robert McDonald & Daniel Siegel - 47-54 Observations on the relationship between agricultural commodity prices and real interest rates
by Bruce A. Scherr & Howard C. Madsen - 55-63 The performance of live cattle futures as predictors of subsequent spot prices
by Robert W. Kolb & Gerald D. Gay - 65-73 The effect of the tax treatment of treasury‐bill futures on their rates
by Marcelle Arak - 75-100 A fundamental overview of the energy futures market
by David J. Hirschfeld - 101-102 Legal Notes
by Ronald J. Horowitz - 103-109 Futures Bibliography
by Robert T. Daigler
December 1982, Volume 2, Issue 4
- 305-315 Are t‐bill futures good forecasters of interest rates?
by Charles T. Howard - 317-332 Do futures markets help intertemporal allocation of resources?
by Eugene Kroch - 333-340 Forward pricing feeder pigs
by Stephen E. Miller - 341-356 The impact of interest rate level and volatility on the performance of interest rate hedges
by Shantaram P. Hegde - 357-366 The effect of futures trading on the price volatility of gnma securities
by W. Gary Simpson & Timothy C. Ireland