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The Role of Index Trading in Price Formation in the Grains and Oilseeds Markets
16 references·2 citing·32 second hop
The Role of Index Trading in Price Formation in the Grains and Oilseeds Markets (2014)The Role of Index Trading in Price Format…The Role of Speculation in Oil Markets: What Have We Learned So Far? (2013)The Role of Speculation in Oi…Index Investment and the Financialization of Commodities (2012)Index Investment and the Fina…Index Investment and Financialization of Commodities (2010)Index Investment and Financia…How to Understand High Food Prices (2010)How to Understand High Food P…Facts and Fantasies about Commodity Futures (2006)Facts and Fantasies about Com…Causality in Macroeconomics (2001)Causality in MacroeconomicsPresidential Address: Friction (2000)Presidential Address: FrictionMarket Microstructure Theory. (1996)Market Microstructure Theory.Market microstructure theory (1995)Market microstructure theoryDo Demand Curves for Stocks Slope Down? (1986)Do Demand Curves for Stocks S…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices (1972)The Market for Securities: Su…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Futures Trading and the Excess Co-movement of Commodity Prices (2017)Futures Trading and the Exces…The impact of speculation on commodity futures markets – A review of the findings of 100 empirical studies (2016)The impact of speculation on …Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The market for corporate control (1983)Noise (1986)The determinants of cross-border equity flows (2004)An Engine, Not a Camera (2006)The cost of capital, corporation finance and the theory of investment (2008)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Financialization of Commodity Markets (2013)Speculators, commodities and cross-market linkages (2013)A Model of Financialization of Commodities (2016)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)The Fundamentals of Commodity Futures Returns (2012)“Options, Futures, and Other Derivatives” (2016)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)Market microstructure: A survey (2000)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Realized Variance and Market Microstructure Noise (2006)Corporate Bond Market Transaction Costs and Transparency (2007)MIDAS Regressions: Further Results and New Directions (2007)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
this work references cited by second hop

References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1980On the Impossibility of Informationally Efficient Markets5,122 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1980On the Impossibility of Informationally Efficient Markets3,640 cited
  • 1986Do Demand Curves for Stocks Slope Down?1,524 cited
  • 2006Facts and Fantasies about Commodity Futures1,389 cited
  • 2012Index Investment and the Financialization of Commodities1,333 cited
  • 1995Market microstructure theory1,305 cited
  • 1996Market Microstructure Theory.1,152 cited
  • 1972The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices886 cited
  • 2010How to Understand High Food Prices738 cited
  • 2010Index Investment and Financialization of Commodities723 cited
  • 2000Presidential Address: Friction681 cited
  • 2001Causality in Macroeconomics503 cited
  • 2013The Role of Speculation in Oil Markets: What Have We Learned So Far?491 cited

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Cited by

  • 2016The impact of speculation on commodity futures markets – A review of the findings of 100 empirical studies115 cited
  • 2017Futures Trading and the Excess Co-movement of Commodity Prices87 cited