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Futures trading and hedging
0 references·16 citing·56 second hop
Futures trading and hedging (1978)Futures trading and hedgingPrice discovery in agricultural commodity markets in the presence of futures speculation (2017)Price discovery in agricultur…Facts and Fantasies about Commodity Futures Ten Years Later (2015)Facts and Fantasies about Com…The Adequacy of Speculation in Agricultural Futures Markets: Too Much of a Good Thing? (2010)The Adequacy of Speculation i…Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets (2007)Asymmetric effect of basis on…Do the Forward Sales of Real Estate Stabilize Spot Prices? (2006)Do the Forward Sales of Real …A first look at the empirical relation between spot and futures electricity prices in the United States (2003)A first look at the empirical…Arbitrage, Hedging, and Financial Innovation (1998)Arbitrage, Hedging, and Finan…The Role of Liquidity in Futures Market Innovations (1993)The Role of Liquidity in Futu…Economic Theory and the Hypothesis of Rationality (1991)Economic Theory and the Hypot…A comparison of petroleum futures versus spot prices as predictors of prices in the future (1991)A comparison of petroleum fut…Optimal Hedging in Futures Markets with Multiple Delivery Specifications (1987)Optimal Hedging in Futures Ma…Cross-hedging foreign currency risk (1987)Cross-hedging foreign currenc…Optimal international hedging in commodity and currency forward markets (1985)Optimal international hedging…Information Dissemination and Portfolio Choice (1983)Information Dissemination and…Commercial use and speculative measures of the livestock commodity futures markets (1983)Commercial use and speculativ…Commodity Futures and Spot Price Determination and Hedging in Capital Market Equilibrium (1979)Commodity Futures and Spot Pr…The pricing of commodity contracts (1976)Economic Forces and the Stock Market (1986)Business conditions and expected returns on stocks and bonds (1989)An update on speculation and financialization in commodity markets (2018)Dynamics of volatility spillover in commodity markets: Linking crude oil to agriculture (2019)Temporal and spectral dependence between crude oil and agricultural commodities: A wavelet-based copula approach (2019)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)The relation between forward prices and futures prices (1981)Exchange rate uncertainty, futures markets and the multinational firm (1992)Indirect hedging of exchange rate risk (1995)Hedging foreign currency portfolios (1998)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Testing for a Unit Root in Time Series Regression (1988)A TARCH examination of the return volatility–volume relationship in electricity futures (2006)Risk Aversion in the Small and in the Large (1976)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)On the Impossibility of Informationally Efficient Markets (1980)The dynamic relationship of volatility, volume, and market depth in currency futures markets (1999)Regulatory lessons for emerging stock markets from a century of evidence on transactions costs and share price volatility in the London Stock Exchange (2000)Stock Price and Volume Relation in Emerging Markets (2005)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**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)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Risk premiums in futures markets: An empirical investigation (1984)Hedging with futures in an intertemporal portfolio context (1988)Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help? (2020)Innovation, competition, and new contract design in futures markets (1981)Why There Are Organized Futures Markets (1981)Financial Innovation: The Last Twenty Years and the Next (1986)Is Liquidity Self‐Fulfilling? (2004)The Ambiguity Premium vs. the Risk Premium under Limited Market Participation (2010)The U.S.–China Trade War and the Volatility Linkages between Energy and Agricultural Commodities (2022)Noise Trader Risk in Financial Markets (1990)Options, Futures and Other Derivatives (2003)Transmission of World Food Price Changes to Markets in Sub-Saharan Africa (2010)Financialization and Structural Change in Commodity Futures Markets (2012)“Options, Futures, and Other Derivatives” (2016)Nonlinear effects of climate policy uncertainty and financial speculation on the global prices of oil and gas (2022)Risk, Uncertainty and Profit (1921)The Problem of Social Cost (1960)The Economics of Information (1961)A BIO-PHYSICAL MODEL OF TRIP GENERATION/TRIP DISTRIBUTION. (2000)Modellbildung in den Sozialwissenschaften (2014)Cost overruns and delays in infrastructure projects: the case of Stuttgart 21 (2020)Differences of Opinion Make a Horse Race (1993)Real Estate Price Indices in Hong Kong (2005)Presale Contract and its Embedded Default and Abandonment Options (2010)Volatility Decomposition of Australian Housing Prices (2014)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Measuring and Testing the Impact of News on Volatility (1993)Dynamic Conditional Correlation (2002)Regime switching correlation hedging (2010)Futures Basis, Inventory and Commodity Price Volatility: An Empirical Analysis (2012)Commodity futures hedging, risk aversion and the hedging horizon (2015)
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  • 2010The Adequacy of Speculation in Agricultural Futures Markets: Too Much of a Good Thing?220 cited
  • 2015Facts and Fantasies about Commodity Futures Ten Years Later111 cited
  • 2007Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets107 cited
  • 2003A first look at the empirical relation between spot and futures electricity prices in the United States104 cited
  • 1985Optimal international hedging in commodity and currency forward markets95 cited
  • 2006Do the Forward Sales of Real Estate Stabilize Spot Prices?93 cited
  • 1979Commodity Futures and Spot Price Determination and Hedging in Capital Market Equilibrium92 cited
  • 1983Information Dissemination and Portfolio Choice89 cited
  • 1993The Role of Liquidity in Futures Market Innovations84 cited
  • 1991Economic Theory and the Hypothesis of Rationality84 cited
  • 1991A comparison of petroleum futures versus spot prices as predictors of prices in the future81 cited
  • 2017Price discovery in agricultural commodity markets in the presence of futures speculation81 cited
  • 1987Cross-hedging foreign currency risk65 cited
  • 1987Optimal Hedging in Futures Markets with Multiple Delivery Specifications

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60 cited
  • 1998Arbitrage, Hedging, and Financial Innovation60 cited
  • 1983Commercial use and speculative measures of the livestock commodity futures markets59 cited