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New Evidence on the Impact of Index Funds in U.S. Grain Futures Markets
16 references·5 citing·45 second hop
New Evidence on the Impact of Index Funds in U.S. Grain Futures Markets (2011)New Evidence on the Impact of Index Funds…The Fundamentals of Commodity Futures Returns (2012)The Fundamentals of Commodity…Testing the Masters Hypothesis in commodity futures markets (2011)Testing the Masters Hypothesi…Speculative Influences on Commodity Futures Prices 2006-08 (2010)Speculative Influences on Com…Rethinking the global food crisis: The role of trade shocks (2010)Rethinking the global food cr…How to Understand High Food Prices (2010)How to Understand High Food P…A speculative bubble in commodity futures prices? Cross‐sectional evidence (2010)A speculative bubble in commo…When speculation matters (2009)When speculation mattersDevil or Angel? The Role of Speculation in the Recent Commodity Price Boom (and Bust) (2009)Devil or Angel? The Role of S…Commodity Index Investing and Commodity Futures Prices (2009)Commodity Index Investing and…Anatomy of a crisis: the causes and consequences of surging food prices (2008)Anatomy of a crisis: the caus…The Fundamentals of Commodity Futures Returns (2007)The Fundamentals of Commodity…How Profitable Is Capital Structure Arbitrage? (2006)How Profitable Is Capital Str…Facts and Fantasies about Commodity Futures (2006)Facts and Fantasies about Com…Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K. (1991)Seasonality in Stock Price Me…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Does the Stock Market Rationally Reflect Fundamental Values? (1986)Does the Stock Market Rationa…Volatility Effects of Index Trading and Spillovers on US Agricultural Futures Markets: A Multivariate GARCH Approach (2017)Volatility Effects of Index T…Speculative bubbles in agricultural prices (2014)Speculative bubbles in agricu…Hedging and Speculative Trading in Agricultural Futures Markets (2014)Hedging and Speculative Tradi…Does the choice of performance measure influence the evaluation of commodity investments? (2014)Does the choice of performanc…Bubbles, Food Prices, and Speculation: Evidence from the CFTC's Daily Large Trader Data Files (2013)Bubbles, Food Prices, and Spe…The Noise Trader Approach to Finance (1990)Understanding Crude Oil Prices (2008)Drivers and triggers of international food price spikes and volatility (2013)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)The Limits of Arbitrage (1995)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Index Funds, Financialization, and Commodity Futures Markets (2011)Volatility spillover between oil and agricultural commodity markets (2012)The General Theory of Employment, Interest and Money. (1936)The Framing of Decisions and the Psychology of Choice (1981)Stock Volatility and the Crash of '87 (1989)The econometrics of financial markets (1996)Investor Sentiment and Asset Valuation (2005)A Note On Rising Food Prices (2008)Food versus fuel: What do prices tell us? (2009)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Quantifying the speculative component in the real price of oil: The role of global oil inventories (2013)Risk premia in crude oil futures prices (2013)Convective Risk Flows in Commodity Futures Markets (2014)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Measuring Default Risk Premia from Default Swap Rates and EDFs (2007)What does futures market interest tell us about the macroeconomy and asset prices? (2012)Financialization in commodity markets: A passing trend or the new normal? (2015)Evaluating Natural Resource Investments (1985)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)Financialization of Commodity Markets (2013)A Model of Financialization of Commodities (2016)Intermediary asset pricing: New evidence from many asset classes (2017)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Options, Futures and Other Derivatives (2003)The Strategic and Tactical Value of Commodity Futures (2006)“Options, Futures, and Other Derivatives” (2016)Assessing the evolving fragility of the global food system (2015)Impacts of COVID-19 on Trade and Economic Aspects of Food Security: Evidence from 45 Developing Countries (2020)Towards food supply chain resilience to environmental shocks (2020)
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References

  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 2006Facts and Fantasies about Commodity Futures1,389 cited
  • 1986Does the Stock Market Rationally Reflect Fundamental Values?1,149 cited
  • 2012The Fundamentals of Commodity Futures Returns760 cited
  • 2010How to Understand High Food Prices738 cited
  • 2008Anatomy of a crisis: the causes and consequences of surging food prices725 cited
  • 2010Rethinking the global food crisis: The role of trade shocks598 cited
  • 2006How Profitable Is Capital Structure Arbitrage?476 cited
  • 2009Devil or Angel? The Role of Speculation in the Recent Commodity Price Boom (and Bust)342 cited
  • 2011Testing the Masters Hypothesis in commodity futures markets324 cited
  • 2009Commodity Index Investing and Commodity Futures Prices273 cited
  • 2009When speculation matters219 cited
  • 1991Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K.218 cited
  • 2007The Fundamentals of Commodity Futures Returns186 cited
  • 2010A speculative bubble in commodity futures prices? Cross‐sectional evidence184 cited
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Speculative Influences on Commodity Futures Prices 2006-08
182 cited

Cited by

  • 2014Speculative bubbles in agricultural prices88 cited
  • 2013Bubbles, Food Prices, and Speculation: Evidence from the CFTC's Daily Large Trader Data Files83 cited
  • 2014Does the choice of performance measure influence the evaluation of commodity investments?35 cited
  • 2014Hedging and Speculative Trading in Agricultural Futures Markets24 cited
  • 2017Volatility Effects of Index Trading and Spillovers on US Agricultural Futures Markets: A Multivariate GARCH Approach21 cited