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The Search for a Risk Premium

In: The Economics of Futures Trading

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  • Roger W. Gray

Abstract

In very recent years the search for a risk premium in the price statistics of organized commodity-futures markets has been renewed. In the statistics produced on futures markets some outstanding economists have recognized unsurpassed possibilities for empirical analysis of prices. Valuable special compilations and new survey data have been added to the already excellent regularly published information, in pursuit of estimates of the risk premium, or in more general investigations which have included estimates of the risk premium. The substantive and methodological contributions that this search has yielded mark it a clear success, but this is not because ores laden with risk premium have been discovered — indeed, the tailings from these diggings may prove richer than the findings, and in unsuspected ores.

Suggested Citation

  • Roger W. Gray, 1976. "The Search for a Risk Premium," Palgrave Macmillan Books, in: The Economics of Futures Trading, chapter 8, pages 141-152, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-349-02693-7_9
    DOI: 10.1007/978-1-349-02693-7_9
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