Content
December 1987, Volume 7, Issue 6
- 695-703 Empirical tests of the efficiency of the currency futures options market
by Joseph P. Ogden & Alan L. Tucker - 705-719 Are petroleum futures prices good predictors of cash value?
by Anthony E. Bopp & Scott Sitzer - 721-726 Futures bibliography
by Robert T. Daigler
October 1987, Volume 7, Issue 5
- 471-481 Hedging dividend capture strategies with stock index futures
by David A. Dubofsky - 483-496 Volume determination in stock and stock index futures markets: An analysis of arbitrage and volatility effects
by John J. Merrick Jr. - 497-500 An analysis of trading and nontrading period returns for the value line composite index; spot versus futures: A note
by Edwin D. Maberly - 501-518 Oil prices and energy futures
by K. C. Chen & R. Stephen Sears & Dah‐Nein Tzang - 519-533 Hedging australian wheat exports using futures markets
by Terence C. Sheales & William G. Tomek - 535-554 Transactions data tests of the black model for soybean futures options
by James V. Jordan & William E. Seale & Nancy C. McCabe & David E. Kenyon - 555-569 Chernobyl, commodities, and chaos: An examination of the reaction of commodity futures prices to evolving information
by Stephen W. Pruitt & Wuttipan Tawarangkoon & K. C. John Wei - 571-589 The effects of USDA crop announcements on commodity prices
by Nikolaos T. Milonas - 591-595 A note on the factors affecting technical trading system returns
by Scott H. Irwin & B. Wade Brorsen - 597-601 Futures bibliography
by Robert T. Daigler
August 1987, Volume 7, Issue 4
- 355-371 The municipal‐treasury futures spread
by Marcelle Arak & Raj Daryanani & Philip Fischer & Laurie Goodman - 373-381 Investigation of a lead‐lag relationship between spot stock indices and their futures contracts
by Anthony F. Herbst & Joseph P. McCormack & Elizabeth N. West - 383-395 Futures, spots, stocks and bonds: Multi‐asset portfolio analysis
by Haim Levy - 397-412 “Golden turtle tracks”: In search of unexploited profits in gold spreads
by Geoffrey Poitras - 413-441 An analysis of cash and futures prices in the delivery period of maturing contracts in the coffee “c” market, 1972–1981
by Frieda W. Shaviro - 443-457 A portfolio approach to optimal hedging for a commercial cattle feedlot
by Paul E. Peterson & Raymond M. Leuthold - 459-460 Broker—customer arbitration: An attractive alternative to litigation
by Frederick L. White & William L. Stein - 461-468 Futures bibliography
by Robert T. Daigler
June 1987, Volume 7, Issue 3
- 233-244 Determinants of trading volume in futures markets
by Terrence F. Martell & Avner S. Wolf - 245-267 The efficiency of foreign exchange futures markets in turbulent and non‐turbulent periods
by Debra Glassman - 269-286 Treasury bond futures: Valuing the delivery options
by Marcelle Arak & Laurie S. Goodman - 287-301 Commodity futures price changes: Recent evidence for wheat, soybeans and live cattle
by Michael A. Hudson & Raymond M. Leuthold & Gboroton F. Sarassoro - 303-309 The effect of coupon level on treasury bond futures delivery
by Miles Livingston - 311-326 Commodity futures risk premium and unstable systematic risk
by Jacky C. So - 327-331 A note: Debunking the myth of the risk‐free return
by Ira G. Kawaller - 333-337 A note on volatility and pricing of futures options during choppy markets
by Robert I. Webb - 339-340 Book review
by Perry J. Kaufman - 341-344 New off‐exchange futures‐related instruments: Modern day “bucket shops” or legitimate products
by Frederick L. White & William L. Stein - 345-350 Futures bibliography
by Robert T. Daigler
April 1987, Volume 7, Issue 2
- 119-133 A portfolio approach to optimal hedging for a commercial cattle feedlot
by Raymond M. Leuthold & Paul E. Peterson - 135-146 Comparison of analytical approaches for estimating hedge ratios for agricultural commodities
by Harvey J. Witt & Ted C. Schroeder & Marvin L. Hayenga - 147-156 Hedging mispriced options
by Avner Wolf & Mark Castelino & Jack Clark Francis - 157-167 Stock effects and seasonality in the fcoj futures basis
by William M. Malick & Ronald W. Ward - 169-181 An investigation into seasonality in the futures market
by Gerald D. Gay & Tae‐Hyuk Kim - 183-202 Analysis of profit margin hedging strategies for hog producers
by David Kenyon & John Clay - 203-221 Futures trading and oil market conditions
by Douglas R. Bohi & Michael A. Toman - 223-229 Futures bibliography
by Robert T. Daigler
February 1987, Volume 7, Issue 1
- 1-13 Systematic risk, dividend yield and the hedging performance of stock index futures
by Robert Jennings & David Graham - 15-20 Marking‐to‐market, stochastic interest rates and discounts on stock index futures
by Jack S. K. Chang & Jean C. H. Loo - 21-34 An application of arbitrage pricing theory to futures markets: Tests of normal backwardation
by Michael C. Ehrhardt & James V. Jordan & Ralph A. Walkling - 35-47 Hedging interest rate risk in banking
by David R. Goldfarb - 49-64 Option expirations and treasury bond futures prices
by Anand K. Bhattacharya - 65-72 Application of a simplified hedging rule
by Gary E. Bond & Stanley R. Thompson & Benny M. S. Lee - 73-91 Factors affecting agricultural futures price variance
by David Kenyon & Kenneth Kling & Jim Jordan & William Seale & Nancy McCabe - 93-101 Funds protections: An overview of what happens when a commodity broker becomes insolvent
by William F. Tueting & Christopher Q. King - 103-107 Stable distributions, futures prices, and the measurement of trading performance: A reply
by J. Austin Murphy - 109-110 Legal and regulatory developments. The exchange‐trading requirement of the commodity exchange act
by Frederick L. White - 111-113 Futures bibliography
by Robert T. Daigler
December 1986, Volume 6, Issue 4
- 513-521 The daily distribution of changes in the price of stock index futures
by Edward A. Dyl & Edwin D. Maberly - 523-540 Testing the rationality of futures prices for selected LDC agricultural exports
by Indira Rajaraman - 541-564 Returns to storage in coffee and cocoa futures markets
by Sarahelen Thompson - 565-574 Trader concentration effects in live cattle futures
by Charles M. Oellerman & Paul L. Farris - 575-591 Asymmetric arbitrage in futures markets: An empirical study
by Da‐Hsiang Donald Lien - 593-618 Options on futures contracts: A comparison of European and American pricing models
by Kuldeep Shastri & Kishore Tandon - 619-627 A theoretical analysis of the volatility premium in the dollar index contract
by Corey B. Redfield - 629-643 On the informational role of treasury bill futures
by Shantaram P. Hegde & Bill McDonald - 645-657 The joint effect of housing start and inflation announcements on GNMA futures prices
by Anand K. Bhattacharya - 659-670 Dispute resolution systems in the commodity futures industry
by James J. Moylan & Laren Ukman - 671-676 A note on agricultural options and the variance of futures prices
by Nikolaos T. Milonas - 677-680 Response to a comment on “stable distributions, futures prices, and the measurement of trading performance”
by Ronald W. Cornew - 681-681 Trading tactics
by Mark J. Powers & Todd Lofton - 683-685 Legal and regulatory developments
by Frederick L. White - 687-691 Futures Bibliography
by Robert T. Daigler
September 1986, Volume 6, Issue 3
- 343-373 Foreign currency futures and monetary policy announcements: An intervention analysis
by John Doukas & Abdul Rahman - 375-383 The effect of monetary surprises on financial futures prices
by R. S. Woodward - 385-395 The informational content of the interday price change with respect to stock index futures
by Edwin D. Maverly - 397-407 Weekend and day of the week effects in returns on stock index futures
by Joan C. Junkus - 409-419 A further investigation of the day‐of‐the‐week effect in the gold market
by Christopher K. Ma - 421-431 Optimal commodity hedging within the capital asset pricing model
by Gary E. Bond & Stanley R. Thompson - 433-442 Arbitrage opportunities with T‐bill/T‐bond futures combinations
by John C. Easterwood & A. J. Senchack Jr. - 443-460 Price variability and the maturity effect in futures markets
by Nikolaos T. Milonas - 461-475 The certificate system for delivery in live cattle: Conceptual issues and measures of performance
by Wayne D. Purcell & Michael A. Hudson - 477-493 The relative efficiency of the gold and treasury bill futures markets
by Margaret A. Monroe & Richard A. Cohn - 495-501 Note on initial margin to net asset value: Average values for the commodity pool industry
by Ronald W. Cornew - 503-504 Legal and regulatory developments
by Frederick L. White & William Stein - 505-506 Stable distributions, futures prices, and the measurement of trading performance: A comment
by John Doukas & Abdul Rahman - 507-509 Futures Bibliography
by Robert T. Daigler
June 1986, Volume 6, Issue 2
- 175-185 Futures fund performance: A test of the effectiveness of technical analysis
by J. Austin Murphy - 187-205 Effects of expected cash and futures prices on hedging and production
by Frances Antonovitz & Terry Roe - 207-222 Taxes and the hedging of forward commitments
by Robert L. McDonald - 223-230 Predicting changes in T‐bond futures spreads using implied yields from T‐bill futures
by Charles A. Akemann - 231-248 The quality option in the treasury bond futures market: An empirical assessment
by Alex Kane & Alan J. Marcus - 249-259 Forward cash contracting of cotton
by Stephen E. Miller - 261-271 The effects of margins on trading in futures markets
by Raymond P. H. Fishe & Lawrence G. Goldberg - 273-288 On marketing strategies with options: A technique to measure risk and return
by R. J. Hauser & J. S. Eales - 289-305 Hedging effectiveness of currency options and currency futures
by Jack S. K. Chang & Latha Shanker - 307-324 A comparative analysis of futures contract margins
by Gerald D. Gay & William C. Hunter & Robert W. Kolb - 325-333 Insider trading in futures markets: A discussion
by Stephen J. Dinehart - 335-338 Futures bibliography
by Robert T. Daigler
March 1986, Volume 6, Issue 1
- 1-10 Lead‐lag relationships between trading volume and price variability: New evidence
by Philip Garcia & Raymond M. Leuthold & Hector Zapata - 11-27 Hedging shelf registrations
by Don M. Chance & M. Wayne Marr & G. Rodney Thompson - 29-39 The causal relationship between futures price volatility and the cash price volatility of GNMA securities
by Anand K. Bhattacharya & Anju Ramjee & Balasubramani Ramjee - 41-61 Trading treasury bond spreads against treasury bill futures—a model and empirical test of the turtle trade
by Joel C. Rentzler - 63-70 Can a dynamic strategy replicate the returns of an option?
by Michael Asay & Charles Edelsburg - 71-81 The hedging performance of the CD futures market
by James A. Overdahl & Dennis R. Starleaf - 83-92 Portfolio model hedging with canadian dollar futures: A framework for analysis
by Harry S. Marmer - 93-108 On the use of European models to price American options on foreign currency
by Kuldeep Shastri & Kishore Tandon - 109-125 Random walk profits in currency futures trading
by Lee R. Thomas III - 127-140 Sample path properties of futures prices
by David H. Goldenberg - 141-166 Economic costs and benefits of the proposed one—minute time bracketing regulation
by Sanford J. Grossman & Merton H. Miller - 167-171 Futures bibliography
by Robert T. Daigler
December 1985, Volume 5, Issue 4
- 489-504 Hedging against Price Index Inflation with Futures Contracts
by Anthony F. Herbst - 505-515 Reexamination of Normal Backwardation Hypothesis in Futures Markets
by Hun Y. Park - 517-527 The Timing Performance of Small Traders
by Eric C. Chang & Richard A. Stevenson - 529-538 Futures or Cash: Which Market Leads Live Beef Cattle Prices?
by Charles M. Oellermann & Paul L. Farris - 539-577 Pricing Options on Agricultural Futures: Departures from Traditional Theory
by Robert J. Hauser & David Neff - 579-594 Spreading between the Gold and Silver Markets: Is There a Parity?
by Christopher K. Ma - 595-605 Optimal Futures Hedging in the Presence of Asymmetric Information
by Nabil T. Khoury & Jean‐Marc Martel - 607-620 An Efficiency Analysis of the T‐Bond Futures Market
by Robert C. Klemkosky & Dennis J. Lasser - 621-624 A Note: Hedging Market Risk for Capital Investment Projects
by Richard J. Dowen - 625-631 The Foreign Currency Futures Market: Some Reflections on Competitiveness and Growth
by Norman S. Fieleke - 633-641 Futures Trading and the Price Volatility of GNMA Certificates—Further Evidence
by Eugene J. Moriarty & Paula A. Tosini - 643-644 Legal Notes
by Ronald J. Horowitz - 645-649 Futures Bibliography
by Robert T. Daigler
September 1985, Volume 5, Issue 3
- 297-309 Combining price forecasting with hedging of hogs: An evaluation using alternative measures of risk
by Matthew T. Holt & Jon A. Brandt - 311-316 Wood products futures markets and the reservation price of timber
by Peter Berck & Thomas Bible - 317-330 Variable‐rate loan commitments, deposit withdrawal risk, and anticipatory hedging
by G. D. Koppenhaver - 331-348 Some determinants of the volatility of futures prices
by Ronald W. Anderson - 349-359 Are foreign currency options overvalued? The early experience of the Philadelphia stock exchange
by Laurie S. Goodman & Susan Ross & Frederick Schmidt - 361-374 An empirical analysis of the delivery option, marking to market, and the pricing of treasury bond futures
by Simon Benninga & Michael Smirlock - 375-384 The currency futures market and interbank foreign exchange trading
by Eric V. Clifton - 385-405 A semi‐strong form test of the efficiency of the treasury bond futures market
by Don M. Chance - 407-424 An empirical analysis of arbitrage opportunities in the treasury bill futures market
by Shantaram P. Hegde & Ben Branch - 425-432 Testing futures market efficiency—A restatement
by Edwin D. Maberly - 433-446 Dependency and efficiency in the London terminal markets
by Peter J. W. N. Bird - 447-449 A comment on Figlewski's “hedging with stock index futures: Theory and application in a new market”
by Ira Kawaller - 451-452 Comment on Feuerstein's “trading bond spreads in the delivery month”
by Stan Jonas - 453-454 Legal notes
by Ronald J. Horowitz - 455-460 Futures bibliography
by Robert T. Daigler - 463-485 Public futures funds
by Scott H. Irwin & B. Wade Brorsen
June 1985, Volume 5, Issue 2
- 149-171 Public futures funds
by Scott H. Irwin & B. Wade Brorsen - 173-182 An empirical test of a duration‐based hedge: The case of corporate bonds
by William J. Landes & John D. Stoffels & James A. Seifert - 183-199 Hedging with stock index futures: Theory and application in a new market
by Stephen Figlewski - 201-222 Use of three stock index futures in hedging decisions
by Joan C. Junkus & Cheng F. Lee - 223-237 Estimating stock index futures volatility through the prices of their options
by Hun Y. Park & R. Stephen Sears - 239-246 Effects of the Economic Recovery Tax Act of 1981 on futures market volume
by Kandice H. Kahl - 247-258 Pricing options on agricultural futures: An application of the constant elasticity of variance option pricing model
by Jin W. Choi & Francis A. Longstaff - 259-272 An examination of the distribution of futures price changes
by Billy P. Helms & Terrence F. Martell - 273-286 Interest rate volatility, trading volume, and the hedging performance of T‐bond and GNMA futures—A note
by Shantaram P. Hegde & Kenneth P. Nunn Jr. - 287-288 Legal notes
by Ronald J. Horowitz - 289-295 Futures bibliography
by Robert T. Daigler
March 1985, Volume 5, Issue 1
- 1-10 Efficiency and efficient trading rules for food and feed grains in the world commodity markets: The Israeli experience
by David Bigman & David Goldfarb - 11-20 The systematic downward bias in live cattle futures: A further evaluation
by Darwin M. Pluhar & Carl E. Shafer & Thomas L. Sporleder - 21-28 Simple and multiple cross‐hedging of millfeeds
by Stephen E. Miller - 29-43 The degree of price resolution: The case of the gold market
by Clifford A. Ball & Walter N. Torous & Adrian E. Tschoegl - 45-55 A measure of hedging's performance
by Ray D. Nelson & Robert A. Collins - 57-76 Efficiency of commodity futures: A vector autoregression analysis
by Giorgio Canarella & Stephen K. Pollard - 77-88 Differences between futures and forward prices: A further investigation of the marking‐to‐market effects
by Hun Y. Park & Andrew H. Chen - 89-101 Taxes and the pricing of stock index futures: Empirical results
by Bradford Cornell - 103-112 The economics of performance margins in futures markets
by Kandice H. Kahl & Roger D. Rutz & Jeanne C. Sinquefield - 113-114 Memory in commodity futures contracts: A comment
by Nicholaos T. Milonas & Peter E. Koveos & G. Geoffrey Booth - 115-119 Conversion factor risk in treasury bond futures: Comment
by Robert A. Jones - 121-125 On commodity market risk premiums: Additional evidence
by Jennefer Baxter & Thomas E. Conine Jr. & Maurry Tamarkin - 127-129 Legal notes
by Ronald J. Horowitz - 131-143 Futures bibliography
by Robert T. Daigler
December 1984, Volume 4, Issue 4
- 449-464 Country hedging for real income stabilization: A case study of south korea and egypt
by Kathryn M. Gordon & Gordon C. Rausser - 465-478 Can chartists outperform the market? market efficiency tests for “technical analysis”
by Salih N. Neftci & Andrew J. Policano - 479-490 Futures contract options
by George S. Oldfield & Carlos E. Rovira - 491-512 Options of futures: Pricing and the effect of an anticipated price change
by Avner Wolf - 513-530 Risk and returns from alternative marketing strategies for corn producers
by Larry J. Martin & David Hope - 531-557 Stable distributions, futures prices, and the measurement of trading performance
by Ronald W. Cornew & Donald E. Town & Lawrence D. Crowson - 559-567 Memory in commodity futures contracts
by Billy P. Helms & Fred R. Kaen & Robert E. Rosenman - 569-577 Treasury bond futures delivery bias
by James F. Meisner & John W. Labuszewski - 579-583 Trading bond spreads in the delivery month
by Jay R. Feuerstein - 585-586 Legal notes
by Ronald J. Horowitz - 587-589 Futures bibliography
by Robert T. Daigler
September 1984, Volume 4, Issue 3
- 237-271 Futures markets: Their purpose, their history, their growth, their successes and failures
by Dennis W. Carlton - 273-295 Customer protection in futures and securities markets
by Daniel R. Fischel & Sanford J. Grossman - 297-332 The regulation of futures contract innovations in the united states
by Ronald W. Anderson - 333-366 A legal and economic analysis of manipulation in futures markets
by Linda N. Edwards & Franklin R. Edwards - 367-384 Regulatory structure in futures markets: Jurisdictional competition between the sec, the cftc, and other agencies
by Edward J. Kane - 385-416 Margins and market integrity: Margin setting for stock index futures and options
by Stephen Figlewski - 417-447 The impact of financial futures and options on capital formation
by Dwight M. Jaffee
June 1984, Volume 4, Issue 2
- 115-123 Cash‐and‐carry trading and the pricing of treasury bill futures
by Ira G. Kawaller & Timothy W. Koch - 125-132 The behavior of event‐related returns on oil futures contracts
by Dennis W. Draper - 133-140 Intertemporal price volatility of foreign currency futures contracts
by Robert M. Eldridge - 141-154 Profitable hedging opportunities and risk premiums for producers in live cattle and live hog futures markets
by Marvin L. Hayenga & Dennis D. Dipietre & J. Marvin Skadberg & Ted C. Schroeder - 155-159 The optimal hedge ratio in unbiased futures markets
by Simon Benninga & Rafael Eldor & Itzhak Zilcha - 161-172 The cheapest deliverable bond for the cbt treasury bond futures contract
by Miles Livingston - 173-187 An immunization strategy for futures contracts on government securities
by Donald R. Chambers - 189-211 Risk premiums in futures markets: An empirical investigation
by Jacques Raynauld & Jacques Tessier - 213-224 The mexican peso and the chicago international money market: A case. Study in foreign currency futures
by Joseph E. Finnerty - 225-228 Removing bias in duration based hedging models: A note
by Gerald D. Gay & Robert W. Kolb - 229-230 Legal notes
by Ronald J. Horowitz - 231-234 Futures bibliography
by Robert T. Daigler
March 1984, Volume 4, Issue 1
- 1-13 Reducing inter‐temporal risk in financial futures hedging
by Mark Pitts & Robert W. Kopprasch - 15-23 Random processes in prices and technical analysis
by William G. Tomek & Scott F. Querin - 25-38 Does the treasury bond futures market destabilize the treasury bond cash market?
by Gary A. Bortz - 39-46 Spread volatility in commodity futures: The length effect
by Mark G. Castelino & Ashok Vora - 47-54 Macro versus micro futures hedges at commercial banks
by Robert W. Kolb & Stephen G. Timme & Gerald D. Gay - 55-64 Conversion factor risk and hedging in the treasury‐bond futures market
by Alex Kane & Alan J. Marcus - 65-73 Techniques for making decisions under uncertainty
by Fred Gehm - 75-85 Equivalent delivery procedures for gnma futures contracts and options
by Walter L. Eckardt Jr. - 87-102 Stock index futures contracts and separability of returns
by Anthony F. Herbst & Nicholas O. Ordway - 103-104 Legal notes
by Ronald J. Horowitz