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December 1989, Volume 9, Issue 6
- 529-537 Hedging in the treasury bill futures market when the hedged instrument and the deliverable instrument are not matched
by George M. McCabe & Donald P. Solberg - 539-545 Yield opportunities and hedge ratio considerations with fixed income cash‐and‐carry trades
by Ira G. Kawaller & Timothy W. Koch - 547-563 Production and hedging decisions in the presence of basis risk
by Jacob Paroush & Avner Wolf - 565-571 Gambler's ruin and optimal stop loss strategy
by Gang Shyy - 573-581 A supply of storage theory with asymmetric information
by Nabil T. Khoury & Jean‐Marc Martel - 583-588 Sampled data as a basis of cash settlement price
by Da‐Hsiang Donald Lien
October 1989, Volume 9, Issue 5
- 365-375 An empirical investigation of the early exercise premium of foreign currency options
by Philippe Jorion & Neal M. Stoughton - 377-391 Price discovery and hedging in the sunflower market
by William W. Wilson - 393-419 Forecasting efficiency of energy futures prices
by Cindy W. Ma - 421-437 On the value of the implicit delivery options
by Shantaram P. Hegde - 439-448 Configurations for arbitrage using financial futures contracts
by Adrian S. Yano - 449-459 An analysis of index option pricing
by John S. Cotner & James F. Horrell - 461-467 Exchange memberships: An overview of the issues pertaining to the property rights of a bankrupt member and his creditors
by James J. Moylan & Laren A. Ukman & Peter S. Lake - 469-475 Measuring hedging effectiveness with R-super-2: A note
by Mary Lindahl
August 1989, Volume 9, Issue 4
- 273-282 The live cattle futures market and daily cash price movements
by B. Wade Brorsen & Charles M. Oellermann & Paul L. Farris - 283-295 The market for japanese stock index futures: Some preliminary evidence
by Warren Bailey - 297-305 Evidence on the effect of information and noise trading on intraday gold futures returns
by Beni Lauterbach & Margaret Monroe - 307-319 Performance of estimated hedging ratios under yield uncertainty
by Stephen E. Miller & Kandice H. Kahl - 321-335 Limit moves and price resolution: The case of the treasury bond futures market
by Christopher K. Ma & Ramesh P. Rao & R. Stephen Sears - 337-345 Effects of expected cash and futures prices on hedging and production: Comments and extensions
by Ardeshir J. Dalal & Bala G. Arshanapalli - 347-353 Arbitrage opportunities between thin and liquid futures markets
by Colin A. Carter - 355-358 Optical settlement specification on futures contracts
by Da‐Hsiang Donald Lien
June 1989, Volume 9, Issue 3
- 185-197 Hedging effectiveness and minimum risk hedge ratios in the presence of autocorrelation: Foreign currency futures
by A. F. Herbst & D. D. Kare & S. C. Caples - 199-213 Memory and equilibrium futures prices
by David H. Goldenberg - 215-224 The optimal maturity of hedges and participation of hedgers in futures and forward markets
by C. T. Shalen - 225-236 Liquidity costs and scalping returns in the corn futures market
by B. Wade Brorsen - 237-248 Cash settlement issues for live cattle futures contracts
by Kandice H. Kahl & Michael A. Hudson & Clement E. Ward - 249-262 Futures rates and forward rates as predictors of near‐term treasury bill rates
by S. Scott MacDonald & Scott E. Hein - 263-270 Cash settlement provisions on futures contracts
by Da‐Hsiang Donald Lien - 271-272 The relationship between stock indices and stock index futures from 3:00–3:15: A note
by Edwin D. Maberly
April 1989, Volume 9, Issue 2
- 87-99 Cross hedging the Italian Lira/US dollar exchange rate with deutsch mark futures
by Francesco S. Braga & Larry J. Martin & Karl D. Meilke - 101-111 Early unwindings and rollovers of stock index futures arbitrage programs: Analysis and implications for predicting expiration day effects
by John J. Merrick Jr. - 113-121 Price discovery for feeder cattle
by Charles M. Oellermann & B. Wade Brorsen & Paul L. Farris - 123-133 Optimal futures spread positions
by Geoff Poitras - 135-141 Determinants of an individual's demand for hedging instruments
by Rafael Eldor & David Pines & Abba Schwartz - 143-162 Investment decision making with index futures and index futures options
by Robert Brooks - 163-170 Optimal hedging and spreading on wheat futures markets
by Da‐Hsiang Donald Lien - 171-173 A note on the relationship between forward and futures contracts
by Azriel Levy - 175-177 The daily effect in the gold market: A reply
by Christopher K. Ma & G. Wenchi Wong & Edwin D. Maberly
February 1989, Volume 9, Issue 1
- 1-13 A theory of negative prices for storage
by Brian D. Wright & Jeffrey C. Williams - 15-27 Complex hedges: How well do they work?
by Dwight Grant & Mark Eaker - 29-39 Hedging canadian corporate debt: A comparative study of the hedging effectiveness of Canadian and U.S. bond futures
by Louis Gagnon & Samuel Mensah & Edward H. Blinder - 41-54 Pricing and hedging capped options
by Phelim P. Boyle & Stuart M. Turnbull - 55-65 The usefulness of historical data in selecting parameters for technical trading systems
by Louis P. Lukac & B. Wade Brorsen - 67-75 Optimal cross‐hedge portfolios for hedging stock index options
by Michael J. Alderson & Terry L. Zivney - 77-86 An analysis of intra‐market spreads in heating oil futures
by Peter A. Abken - 77-86 An analysis of intra‐market spreads in heating oil futures
by Peter A. Abken
December 1988, Volume 8, Issue 6
- 639-655 Extreme price movements and margin levels in futures markets
by Franklin R. Edwards & Salih N. Neftci - 657-686 Hedging and risk aversion in the foreign currency market
by Jerry A. Hammer - 687-702 Hedger response to multiple grades of delivery on futures markets
by Da‐Hsiang Donald Lien - 703-715 Hedging foreign exchange risk with currency futures: Portfolio effects
by Gregory J. Lypny - 717-722 A monthly effect in commodity price changes: A note
by Eric C. Chang - 723-724 The other friday “bull” effect: A chance occurrence or the harbinger of yet another puzzling anomaly? a note!
by Edwin D. Maberly - 725-733 Futures Bibliography
by Robert T. Daigler
October 1988, Volume 8, Issue 5
- 517-532 Optimal exercise of the switching option in treasury bond arbitrages
by Theodore M. Barnhill & William E. Seale - 533-561 Daily trading estimates for treasury bond futures contract prices
by Karin Peterson LaBarge - 563-573 Cash‐futures arbitrage and forward‐futures spreads in the treasury bill market
by Linda Allen & Thom Thurston - 575-588 Indeterminacy of price and quantity in futures markets
by Margaret A. Monroe - 589-616 Commodity pool performance: Is the information contained in pool prospectuses useful?
by Franklin R. Edwards & Cindy Ma - 617-637 Commodity pool operators and their pools: Expenses and profitability
by Ronald W. Cornew
August 1988, Volume 8, Issue 4
- 391-412 Index futures, program trading, and stock market procedures
by Hans R. Stoll - 413-419 Program trading and stock and futures price volatility
by Sanford J. Grossman - 421-439 Futures trading and cash market volatility: Stock index and interest rate futures
by Franklin R. Edwards - 441-455 Portfolio insurance with stock index futures
by John J. Merrick Jr. - 457-481 Optimal bank asset and liability management with financial futures
by Abraham I. Brodt - 483-510 Commodity futures prices and economic news: An examination under alternative monetary regimes
by Scott W. Barnhart - 511-516 Futures Bibliography
by Robert T. Daigler
June 1988, Volume 8, Issue 3
- 249-269 Hedging with futures in an intertemporal portfolio context
by Michael Adler & Jerome Detemple - 271-290 When random is not random: An introduction to chaos in market prices
by Robert Savit - 291-302 On the possible tax‐driven arbitrage opportunities in the new municipal bond futures contract
by Hal Heaton - 303-318 The pricing and performance of stock index futures spreads
by Randall S. Billingsley & Don M. Chance - 319-334 Effectiveness of hedging interest rate risks and stock market risks with financial futures
by Michel Fortin & Nabil T. Khoury - 335-352 The hedging performance of ECU futures contracts
by Anthony Saunders & Stanley Sienkiewicz - 353-363 A risk premium under uncertain inflation: The inflation futures evidence
by Chen‐Chin Chu - 365-372 Examining the validity of a test of futures market efficiency
by Emmett Elam & Bruce L. Dixon - 373-388 American vs. European options on the value line index
by Nusret Cakici & T. Hanan Eytan & Giora Harpaz - 389-390 A further investigation of the day‐of‐the‐week effect in the gold market: A comment
by Anthony F. Herbst & Edwin D. Maberly
April 1988, Volume 8, Issue 2
- 127-139 The pricing of dollar index futures contracts
by T. Hanan Eytan & Giora Harpaz & Steven Krull - 141-156 Comparison of selective hedging and options strategies in cattle feedlot risk management
by Ted C. Schroeder & Marvin L. Hayenga - 157-166 The rationality model revisited
by Edward F. Renshaw - 167-184 Using futures to improve treasury bill portfolio performance
by S. Scott MacDonal & Richard L. Peterson & Timothy W. Koch - 185-198 Empirical tests of boundary conditions for options on treasury bond futures contracts
by Edward C. Blomeyer & James C. Boyd - 199-209 Arbitrage opportunities in metal futures markets
by Christopher K. Ma & Luc A. Soenen - 211-228 An empirical examination of composite stock index futures pricing
by Edward M. Saunders Jr. & Arvind Mahajan - 229-241 Day of the week effects and commodity price changes
by Eric C. Chang & Chan‐Wung Kim - 243-247 Futures Bibliography
by Robert T. Daigler
February 1988, Volume 8, Issue 1
- 1-13 Similarity of computer guided technical trading systems
by Louis P. Lukac & B. Wade Brorsen & Scott H. Irwin - 15-31 Portfolio insurance trading rules
by Richard Bookstaber & Joseph A. Langsam - 33-46 Evaluating the performance of stock portfolios with index futures contracts
by Robert Brooks & John Hand - 47-65 Option price behavior in grain futures markets
by William W. Wilson & Hung‐Gay Fung & Michael Ricks - 67-77 A semi‐strong test of the efficiency of the aluminum and copper markets at the LME
by Martin Gross - 79-87 Risk and return in cattle and hog futures
by Emmett W. Elam & Daniel Vaught - 89-97 Undated futures markets
by Adam K. Gehr Jr. - 99-102 A note: Do futures prices always reflect the cheapest deliverable grade of the commodity?
by Betsey A. Kuhn - 103-113 Note on trader concentration effects in feeder cattle futures and comparison with live cattle
by Charles M. Oellermann & Paul L. Farris - 115-121 The “weekend effect” for stock indexes and stock index futures: Dividend and interest rate effects
by Frederick J. Phillips‐Patrick & Thomas Schneeweis - 123-126 Futures Bibliography
by Robert T. Daigler
December 1987, Volume 7, Issue 6
- 603-617 The use of crude oil futures by the governments of oil‐producing states
by James A. Overdahl - 619-636 Alternative instruments for hedging inflation risk in the banking industry
by G. D. Koppenhaver & Cheng F. Lee - 637-652 The inventory effect in commodity futures markets: An empirical study
by Da‐Hsiang Donald Lien - 653-662 Risk premiums in financial futures markets: The case of treasury bond futures
by Mark S. Rzepczynski - 663-674 Measuring hedging effectiveness in a traditional one‐periodic portfolio framework
by Øystein Gjerde - 675-693 Hedging mortgage‐backed securities with treasury bond futures
by Carl A. Batlin - 695-703 Empirical tests of the efficiency of the currency futures options market
by Joseph P. Ogden & Alan L. Tucker - 705-719 Are petroleum futures prices good predictors of cash value?
by Anthony E. Bopp & Scott Sitzer - 721-726 Futures bibliography
by Robert T. Daigler
October 1987, Volume 7, Issue 5
- 471-481 Hedging dividend capture strategies with stock index futures
by David A. Dubofsky - 483-496 Volume determination in stock and stock index futures markets: An analysis of arbitrage and volatility effects
by John J. Merrick Jr. - 497-500 An analysis of trading and nontrading period returns for the value line composite index; spot versus futures: A note
by Edwin D. Maberly - 501-518 Oil prices and energy futures
by K. C. Chen & R. Stephen Sears & Dah‐Nein Tzang - 519-533 Hedging australian wheat exports using futures markets
by Terence C. Sheales & William G. Tomek - 535-554 Transactions data tests of the black model for soybean futures options
by James V. Jordan & William E. Seale & Nancy C. McCabe & David E. Kenyon - 555-569 Chernobyl, commodities, and chaos: An examination of the reaction of commodity futures prices to evolving information
by Stephen W. Pruitt & Wuttipan Tawarangkoon & K. C. John Wei - 571-589 The effects of USDA crop announcements on commodity prices
by Nikolaos T. Milonas - 591-595 A note on the factors affecting technical trading system returns
by Scott H. Irwin & B. Wade Brorsen - 597-601 Futures bibliography
by Robert T. Daigler
August 1987, Volume 7, Issue 4
- 355-371 The municipal‐treasury futures spread
by Marcelle Arak & Raj Daryanani & Philip Fischer & Laurie Goodman - 373-381 Investigation of a lead‐lag relationship between spot stock indices and their futures contracts
by Anthony F. Herbst & Joseph P. McCormack & Elizabeth N. West - 383-395 Futures, spots, stocks and bonds: Multi‐asset portfolio analysis
by Haim Levy - 397-412 “Golden turtle tracks”: In search of unexploited profits in gold spreads
by Geoffrey Poitras - 413-441 An analysis of cash and futures prices in the delivery period of maturing contracts in the coffee “c” market, 1972–1981
by Frieda W. Shaviro - 443-457 A portfolio approach to optimal hedging for a commercial cattle feedlot
by Paul E. Peterson & Raymond M. Leuthold - 459-460 Broker—customer arbitration: An attractive alternative to litigation
by Frederick L. White & William L. Stein - 461-468 Futures bibliography
by Robert T. Daigler
June 1987, Volume 7, Issue 3
- 233-244 Determinants of trading volume in futures markets
by Terrence F. Martell & Avner S. Wolf - 245-267 The efficiency of foreign exchange futures markets in turbulent and non‐turbulent periods
by Debra Glassman - 269-286 Treasury bond futures: Valuing the delivery options
by Marcelle Arak & Laurie S. Goodman - 287-301 Commodity futures price changes: Recent evidence for wheat, soybeans and live cattle
by Michael A. Hudson & Raymond M. Leuthold & Gboroton F. Sarassoro - 303-309 The effect of coupon level on treasury bond futures delivery
by Miles Livingston - 311-326 Commodity futures risk premium and unstable systematic risk
by Jacky C. So - 327-331 A note: Debunking the myth of the risk‐free return
by Ira G. Kawaller - 333-337 A note on volatility and pricing of futures options during choppy markets
by Robert I. Webb - 339-340 Book review
by Perry J. Kaufman - 341-344 New off‐exchange futures‐related instruments: Modern day “bucket shops” or legitimate products
by Frederick L. White & William L. Stein - 345-350 Futures bibliography
by Robert T. Daigler
April 1987, Volume 7, Issue 2
- 119-133 A portfolio approach to optimal hedging for a commercial cattle feedlot
by Raymond M. Leuthold & Paul E. Peterson - 135-146 Comparison of analytical approaches for estimating hedge ratios for agricultural commodities
by Harvey J. Witt & Ted C. Schroeder & Marvin L. Hayenga - 147-156 Hedging mispriced options
by Avner Wolf & Mark Castelino & Jack Clark Francis - 157-167 Stock effects and seasonality in the fcoj futures basis
by William M. Malick & Ronald W. Ward - 169-181 An investigation into seasonality in the futures market
by Gerald D. Gay & Tae‐Hyuk Kim - 183-202 Analysis of profit margin hedging strategies for hog producers
by David Kenyon & John Clay - 203-221 Futures trading and oil market conditions
by Douglas R. Bohi & Michael A. Toman - 223-229 Futures bibliography
by Robert T. Daigler
February 1987, Volume 7, Issue 1
- 1-13 Systematic risk, dividend yield and the hedging performance of stock index futures
by Robert Jennings & David Graham - 15-20 Marking‐to‐market, stochastic interest rates and discounts on stock index futures
by Jack S. K. Chang & Jean C. H. Loo - 21-34 An application of arbitrage pricing theory to futures markets: Tests of normal backwardation
by Michael C. Ehrhardt & James V. Jordan & Ralph A. Walkling - 35-47 Hedging interest rate risk in banking
by David R. Goldfarb - 49-64 Option expirations and treasury bond futures prices
by Anand K. Bhattacharya - 65-72 Application of a simplified hedging rule
by Gary E. Bond & Stanley R. Thompson & Benny M. S. Lee - 73-91 Factors affecting agricultural futures price variance
by David Kenyon & Kenneth Kling & Jim Jordan & William Seale & Nancy McCabe - 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