Is normal backwardation normal?
Article Abstract:
The theory of normal backwardation proposed by John Maynard Keynes displays behavior that is not normal. The theory asserts that futures price is less than the expected future spot price, wherein an expected increase in the futures price given a certain period of time is expected to equal the future spot price at contract expiration. Such a situation will occur only if it is derived from risk-premium arising from long and short traders being more risk-averse than others. Actual observation in the commodities market shows risk premium in commodities to be equivalent to zero.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1992
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Futures prices and the maturity effect
Article Abstract:
The maturity effect is a cause of nonstationarity in futures prices since prices of futures contracts which are near expiration react more strongly to new information about the underlying commodity than do contracts further from expiration. An examination of 4,111 futures contracts from 45 commodities from 1969 to 1992 reveals that the maturity effect appears to play an important role in the volatility of futures prices for commodities experiencing seasonal variations, but not for commodities for which the cost-of-carry model of futures prices works well.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1996
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Analysis of spreads in agricultural futures
Article Abstract:
The price behavior of grain product intramarket and intermarket trading spreads are analyzed to determine regularities in spread relationships that would yield excess profits. Statistics concerning the daily dollar profits in contract and calendar time from 1960-1990 indicate minimal profit regularities. The regularities discovered are inadequate and cannot be used for speculating agricultural futures prices.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1995
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