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Usefulness of treasury bill futures as hedging instruments
8 references·3 citing·30 second hop
Usefulness of treasury bill futures as hedging instruments (1981)Usefulness of treasury bill futures as he…The Hedging Performance of the New Futures Markets (1979)The Hedging Performance of th…The Efficiency of the Treasury Bill Futures Market (1979)The Efficiency of the Treasur…Using T-bill futures to gauge interest rate expectations (1978)Using T-bill futures to gauge…The Theory of Hedging and Speculation in Commodity Futures (1976)The Theory of Hedging and Spe…The Simultaneous Determination of Spot and Futures Prices (1976)The Simultaneous Determinatio…Futures Trading and Hedging (1976)Futures Trading and HedgingThe Theory of Hedging and Speculation in Commodity Futures (1960)The Theory of Hedging and Spe…Theory of the Inverse Carrying Charge in Futures Markets (1948)Theory of the Inverse Carryin…The Simultaneous Hedging of Price Risk, Crop Yield Risk and Currency Risk (2000)The Simultaneous Hedging of P…The hedging performance of the CD futures market (1986)The hedging performance of th…A measure of hedging's performance (1985)A measure of hedging's perfor…A Proposal for Indexes for Traded Call Options (1979)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Mutual Fund Performance (1966)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Futures Trading and the Storage of Cotton and Wheat (1958)Hedging with stock index futures: Estimation and forecasting with error correction model (1993)Some Recent Developments in Futures Hedging (2002)Modelling and measuring price discovery in commodity markets (2010)Review of Economic Studies (2010)American Economic Review (2019)The Arc Sine Law and the Treasury Bill Futures Market (1980)Volume determination in stock and stock index futures markets: An analysis of arbitrage and volatility effects (1987)Comparing Futures and Survey Forecasts of Near-Term Treasury Bill Rates (1989)Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums (1973)Hedging and the Competitive Firm under Price Uncertainty (1979)Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Bivariate garch estimation of the optimal commodity futures Hedge (1991)Financing Policy, Basis Risk, and Corporate Hedging: Evidence from Oil and Gas Producers (2000)Issues in futures markets: A survey (1982)The quality option implicit in futures contracts (1984)Optimal international hedging in commodity and currency forward markets (1985)On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios (2007)Crude oil hedging strategies using dynamic multivariate GARCH (2011)The hedging effect of green bonds on carbon market risk (2020)Backwardation in Oil Futures Markets: Theory and Empirical Evidence (1995)Asset storability and price discovery in commodity futures markets: A new look (2001)Modeling seasonality in agricultural commodity futures (2002)The relationship between volume and price variability in futures markets (1981)The Adequacy of Speculation in Agricultural Futures Markets: Too Much of a Good Thing? (2010)Facts and Fantasies about Commodity Futures Ten Years Later (2015)
this work references cited by second hop

References

  • 1979The Hedging Performance of the New Futures Markets1,566 cited
  • 1976The Theory of Hedging and Speculation in Commodity Futures660 cited
  • 1960The Theory of Hedging and Speculation in Commodity Futures617 cited
  • 1976The Simultaneous Determination of Spot and Futures Prices414 cited
  • 1948Theory of the Inverse Carrying Charge in Futures Markets327 cited
  • 1976Futures Trading and Hedging152 cited
  • 1979The Efficiency of the Treasury Bill Futures Market138 cited
  • 1978Using T-bill futures to gauge interest rate expectations41 cited

Cited by

  • 1986The hedging performance of the CD futures market18 cited
  • 1985A measure of hedging's performance16 cited
  • 2000The Simultaneous Hedging of Price Risk, Crop Yield Risk and Currency Risk15 cited

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