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Returns to Speculators and the Theory of Normal Backwardation
9 references·16 citing·35 second hop
Returns to Speculators and the Theory of Normal Backwardation (1985)Returns to Speculators and the Theory of …Proof that Properly Anticipated Prices Fluctuate Randomly (2015)Proof that Properly Anticipat…On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills (2015)On Market Timing and Investme…On Market Timing and Investment Performance Part I: An Equilibrium Theory of Value for Market Forecasts (2011)On Market Timing and Investme…On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills (1981)On Market Timing and Investme…On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts (1981)On Market Timing and Investme…The pricing of commodity contracts (1976)The pricing of commodity cont…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 MoneyFutures Trading and the Storage of Cotton and Wheat (1958)Futures Trading and the Stora…A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets (2019)A Tale of Two Premiums: The R…Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns (2017)Understanding the Sources of …EFFECTS OF INDEX‐FUND INVESTING ON COMMODITY FUTURES PRICES (2015)EFFECTS OF INDEX‐FUND INVESTI…News sentiment in the gold futures market (2014)News sentiment in the gold fu…Effects of Index-Fund Investing on Commodity Futures Prices (2014)Effects of Index-Fund Investi…Risk premia in crude oil futures prices (2013)Risk premia in crude oil futu…Limits to arbitrage and hedging: Evidence from commodity markets (2013)Limits to arbitrage and hedgi…Capturing the risk premium of commodity futures: The role of hedging pressure (2013)Capturing the risk premium of…What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices? (2009)What Does Futures Market Inte…Limits to Arbitrage and Hedging: Evidence from Commodity Markets (2008)Limits to Arbitrage and Hedgi…The Fundamentals of Commodity Futures Returns (2007)The Fundamentals of Commodity…Hedgers, funds, and small speculators in the energy futures markets: an analysis of the CFTC's Commitments of Traders reports (2004)Hedgers, funds, and small spe…Investor Sentiment and Return Predictability in Agricultural Futures Markets (2001)Investor Sentiment and Return…Is normal backwardation normal? (1992)Is normal backwardation norma…Residual Risk, Trading Costs, and Commodity Futures Risk Premia: (1988)Residual Risk, Trading Costs,…Returns to Individual Traders of Futures: Aggregate Results (1987)Returns to Individual Traders…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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Market Timing and Mutual Fund Investment Performance (1984)Forecasting exchange rates using feedforward and recurrent neural networks (1995)The Halloween Indicator, “Sell in May and Go Away”: Another Puzzle (2002)The arbitrage theory of capital asset pricing (1976)Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988 (1993)Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Risks and Portfolio Decisions Involving Hedge Funds (2003)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)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)Common risk factors in the returns on stocks and bonds (1993)Convective Risk Flows in Commodity Futures Markets (2014)The Simultaneous Determination of Spot and Futures Prices (1976)Business Cycles and the Behavior of Metals Prices (1988)Equilibrium Forward Curves for Commodities (2000)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)The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)Volatility Timing in Mutual Funds: Evidence from Daily Returns (1999)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Inefficient Markets (2000)Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets (2001)
this work references cited by second hop

References

  • 1976The pricing of commodity contracts2,859 cited
  • 2015Proof that Properly Anticipated Prices Fluctuate Randomly2,078 cited
  • 1971A Treatise on Money1,728 cited
  • 1981On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills1,321 cited
  • 2015On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills1,206 cited
  • 1958Futures Trading and the Storage of Cotton and Wheat553 cited
  • 2011On Market Timing and Investment Performance Part I: An Equilibrium Theory of Value for Market Forecasts506 cited
  • 1981On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts504 cited
  • 1973Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums502 cited

Cited by

  • 2013Limits to arbitrage and hedging: Evidence from commodity markets371 cited
  • 1988Residual Risk, Trading Costs, and Commodity Futures Risk Premia:321 cited
  • 2013Risk premia in crude oil futures prices308 cited
  • 2015EFFECTS OF INDEX‐FUND INVESTING ON COMMODITY FUTURES PRICES242 cited
  • 2019A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets207 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2013Capturing the risk premium of commodity futures: The role of hedging pressure203 cited
  • 2017Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns198 cited
  • 2007The Fundamentals of Commodity Futures Returns186 cited
  • 2001Investor Sentiment and Return Predictability in Agricultural Futures Markets169 cited
  • 2004Hedgers, funds, and small speculators in the energy futures markets: an analysis of the CFTC's Commitments of Traders reports167 cited
  • 2014News sentiment in the gold futures market164 cited
  • 1992Is normal backwardation normal?161 cited
  • 2014Effects of Index-Fund Investing on Commodity Futures Prices148 cited
  • 1987Returns to Individual Traders of Futures: Aggregate Results140 cited
  • 2008Limits to Arbitrage and Hedging: Evidence from Commodity Markets127 cited
  • 2009What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?121 cited