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On commodity market risk premiums: Additional evidence

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  • Jennefer Baxter
  • Thomas E. Conine Jr.
  • Maurry Tamarkin

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  • Jennefer Baxter & Thomas E. Conine Jr. & Maurry Tamarkin, 1985. "On commodity market risk premiums: Additional evidence," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 5(1), pages 121-125, March.
    • Handle: RePEc:wly:jfutmk:v:5:y:1985:i:1:p:121-125
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    Cited by:

    1. 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.
    2. Baur, Robert Frederick, 1992. "Overreaction in futures markets," ISU General Staff Papers 1992010108000010973, Iowa State University, Department of Economics.
    3. Miffre, Joëlle, 2016. "Long-short commodity investing: A review of the literature," Journal of Commodity Markets, Elsevier, vol. 1(1), pages 3-13.
    4. Elam, Emmett & Vaught, Dan, 1987. "Trading a Portfolio of Commodity Futures Using a 10-Day Channel Strategy," 1987 Annual Meeting, August 2-5, East Lansing, Michigan 269965, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    5. G.D. Hancock, 2005. "A text book treatment of calculating returns on non‐traditional portfolios," Review of Financial Economics, John Wiley & Sons, vol. 14(2), pages 173-186.
    6. Størdal, Ståle & Ewald, Christian-Oliver & Lien, Gudbrand & Haugom, Erik, 2023. "Trading time seasonality in electricity futures," Journal of Commodity Markets, Elsevier, vol. 31(C).
    7. Joelle Miffre, 2002. "The predictability of futures returns: rational variation in required returns or market inefficiency?," Applied Financial Economics, Taylor & Francis Journals, vol. 12(10), pages 715-724.
    8. Ewald, Christian-Oliver & Haugom, Erik & Lien, Gudbrand & Størdal, Ståle & Wu, Yuexiang, 2022. "Trading time seasonality in commodity futures: An opportunity for arbitrage in the natural gas and crude oil markets?," Energy Economics, Elsevier, vol. 115(C).

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