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An application of arbitrage pricing theory to futures markets: Tests of normal backwardation
16 references·1 citing·43 second hop
An application of arbitrage pricing theory to futures markets: Tests of normal backwardation (1987)An application of arbitrage pricing theor…Some determinants of the volatility of futures prices (1985)Some determinants of the vola…Returns to Speculators and the Theory of Normal Backwardation (1985)Returns to Speculators and th…Efficient Asset Portfolios and the Theory of Normal Backwardation (1983)Efficient Asset Portfolios an…A New Approach to Testing Asset Pricing Models: The Bilinear Paradigm (1983)A New Approach to Testing Ass…The relation between forward prices and futures prices (1981)The relation between forward …Forward contracts and futures contracts (1981)Forward contracts and futures…Forward and Futures Prices: Evidence from the Foreign Exchange Markets (1981)Forward and Futures Prices: E…A continuous time equilibrium model of forward prices and futures prices in a multigood economy (1981)A continuous time equilibrium…Risk and Return in Commodity Futures (1980)Risk and Return in Commodity …A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…The pricing of commodity contracts (1976)The pricing of commodity cont…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums (1973)Futures Trading and Investor …A Treatise on Money (1971)A Treatise on MoneyReturns to Speculators: Telser versus Keynes (1960)Returns to Speculators: Telse…Can Speculators Forecast Prices? (1957)Can Speculators Forecast Pric…Conditional dynamics and optimal spreading in the precious metals futures markets (1995)Conditional dynamics and opti…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Equilibrium in a Capital Asset Market (1966)Risk, Return, and Equilibrium: Empirical Tests (1973)Hedging Pressure Effects in Futures Markets (2000)Momentum strategies in commodity futures markets (2007)Financialization in commodity markets: A passing trend or the new normal? (2015)An Intertemporal Capital Asset Pricing Model (1973)Martingales and arbitrage in multiperiod securities markets (1979)A Theory of the Term Structure of Interest Rates (1985)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)The Analytic Valuation of American Options (1990)The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)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)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)The Determinants of the Variability of Stock Market Prices (1980)The Time Pattern of Hedging and the Volatility of Futures Prices (1983)The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normals Hypotheses (1989)Estimating time‐varying optimal hedge ratios on futures markets (1991)Fundamentals and Volatility: Storage, Spreads, and the Dynamics of Metals Prices (1994)Proof that Properly Anticipated Prices Fluctuate Randomly (2015)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Theory of rational option pricing (2005)Financialization and Structural Change in Commodity Futures Markets (2012)Are there common factors in individual commodity futures returns? (2013)Effects of Index-Fund Investing on Commodity Futures Prices (2014)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Residual Risk, Trading Costs, and Commodity Futures Risk Premia: (1988)Limits to arbitrage and hedging: Evidence from commodity markets (2013)Risk premia in crude oil futures prices (2013)Tactical allocation in commodity futures markets: Combining momentum and term structure signals (2010)Should investors include commodities in their portfolios after all? New evidence (2011)Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage (1987)The use of technical analysis in the foreign exchange market (1992)Facts and Fantasies about Commodity Futures (2006)
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References

  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1971A Treatise on Money1,728 cited
  • 1981The relation between forward prices and futures prices740 cited
  • 1973Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums502 cited
  • 1980Risk and Return in Commodity Futures416 cited
  • 1960Returns to Speculators: Telser versus Keynes312 cited
  • 1985Returns to Speculators and the Theory of Normal Backwardation238 cited
  • 1985Some determinants of the volatility of futures prices236 cited
  • 1981Forward contracts and futures contracts234 cited
  • 1981A continuous time equilibrium model of forward prices and futures prices in a multigood economy224 cited
  • 1983Efficient Asset Portfolios and the Theory of Normal Backwardation221 cited
  • 1981Forward and Futures Prices: Evidence from the Foreign Exchange Markets183 cited
  • 1983A New Approach to Testing Asset Pricing Models: The Bilinear Paradigm160 cited

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  • 1957Can Speculators Forecast Prices?147 cited
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    • 1995Conditional dynamics and optimal spreading in the precious metals futures markets28 cited