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ASPECTS OF HEDGING THEORY

ASPECTS OF HEDGING THEORY In this paper, interpretative comments are offered on some established aspects of the economics of futures trading, including the nature of the equilibrium condition in the case of an inverse carrying charge, some inferences about traders' market positions made from estimates of returns, and the implications of the normal backwardation hypothesis in cases where hedgers are net long. The paper also includes a survey of the recent literature on the forward pricing function of futures markets, with a discussion of, inter alia, the methods used to investigate the hypothesis that futures prices are anticipations of delivery date spot prices, and the possible reasons why some markets perform this function better than others. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Australian Journal of Agricultural Resource Economics Wiley

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References (9)

Publisher
Wiley
Copyright
Copyright © 1980 Wiley Subscription Services, Inc., A Wiley Company
ISSN
1364-985X
eISSN
1467-8489
DOI
10.1111/j.1467-8489.1980.tb00579.x
Publisher site
See Article on Publisher Site

Abstract

In this paper, interpretative comments are offered on some established aspects of the economics of futures trading, including the nature of the equilibrium condition in the case of an inverse carrying charge, some inferences about traders' market positions made from estimates of returns, and the implications of the normal backwardation hypothesis in cases where hedgers are net long. The paper also includes a survey of the recent literature on the forward pricing function of futures markets, with a discussion of, inter alia, the methods used to investigate the hypothesis that futures prices are anticipations of delivery date spot prices, and the possible reasons why some markets perform this function better than others.

Journal

The Australian Journal of Agricultural Resource EconomicsWiley

Published: Dec 1, 1980

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