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Do futures prices for commodities embody risk premiums?

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  • Richard Deaves
  • Itzhak Krinsky

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  • Richard Deaves & Itzhak Krinsky, 1995. "Do futures prices for commodities embody risk premiums?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 15(6), pages 637-648, September.
    • Handle: RePEc:wly:jfutmk:v:15:y:1995:i:6:p:637-648
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    Cited by:

    1. Lin, Hua & Fortenbery, T. Randall, 2006. "Risk Premiums and the Storage of Agricultural Commodities," Staff Papers 10277, University of Wisconsin-Madison, Department of Agricultural and Applied Economics.
    2. Kuruppuarachchi, Duminda & Premachandra, I.M. & Roberts, Helen, 2019. "A novel market efficiency index for energy futures and their term structure risk premiums," Energy Economics, Elsevier, vol. 77(C), pages 23-33.
    3. Andrew McKenzie & Matthew Holt, 2002. "Market efficiency in agricultural futures markets," Applied Economics, Taylor & Francis Journals, vol. 34(12), pages 1519-1532.
    4. Kuruppuarachchi, Duminda & Lin, Hai & Premachandra, I.M., 2019. "Testing commodity futures market efficiency under time-varying risk premiums and heteroscedastic prices," Economic Modelling, Elsevier, vol. 77(C), pages 92-112.
    5. Martin T. Bohl & Alexander Pütz & Pierre L. Siklos & Christoph Sulewski, 2018. "Information Transmission under Increasing Political Tension – Evidence for the Berlin Produce Exchange 1887-1896," CQE Working Papers 7618, Center for Quantitative Economics (CQE), University of Muenster.
    6. Abdul Rahim Al-Saati, 2003. "Sharia Compatible Futures مستقبليات مقترحة متوافقة مع الشريعة," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., vol. 15(1), pages 3-25, January.
    7. Tantisantiwong, Nongnuch, 2013. "Price Transmission and Effects of Exchange Rates on Domestic Commodity Prices via Offshore and Currency Hedging," SIRE Discussion Papers 2013-116, Scottish Institute for Research in Economics (SIRE).
    8. Adam Zaremba, 2011. "Sources of Return in the Index Futures Markets," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 5(2), June.
    9. Zhang, Lu & Hsieh, Pei-lin & Chen, Haiqiang, 2023. "COVID-19 and commodity pricing premium: Evidence from the Chinese market," Finance Research Letters, Elsevier, vol. 58(PA).
    10. J. Frank & P. Garcia, 2009. "Time-varying risk premium: further evidence in agricultural futures markets," Applied Economics, Taylor & Francis Journals, vol. 41(6), pages 715-725.
    11. Bozic, Marin & Newton, John & Thraen, Cameron S. & Gould, Brian W., 2012. "Parametric Bootstrap Tests for Futures Price and Implied Volatility Biases with Application to Rating Livestock Margin Insurance for Dairy Cattle," Staff Papers 135077, University of Minnesota, Department of Applied Economics.
    12. Bozic, Marin & Newton, John & Thraen, Cameron S. & Gould, Brian W., 2014. "Parametric Bootstrap Tests for Futures Price and Implied Volatility Biases With Application to Rating Dairy Margin Insurance," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 170416, Agricultural and Applied Economics Association.
    13. Yulia Merkoulova, 2020. "Predictive abilities of speculators in energy markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(5), pages 804-815, May.

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