𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Rational expectations, risk and efficiency in energy futures markets

✍ Scribed by Apostolos Serletis


Publisher
Elsevier Science
Year
1991
Tongue
English
Weight
437 KB
Volume
13
Category
Article
ISSN
0140-9883

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Futures markets and the supply of storag
✍ Ronald Britto πŸ“‚ Article πŸ“… 1982 πŸ› John Wiley and Sons 🌐 English βš– 421 KB

onsider an individual holding a commodity that is subject to price risk be-C cause of factors affecting the future demand for this commodity. For example, the commodity might be a raw material whose price fluctuates randomly because of cyclical disturbances. If a futures market exists for the commod

Comment on: β€œfutures markets and the sup
✍ George M. Furstenberg πŸ“‚ Article πŸ“… 1982 πŸ› John Wiley and Sons 🌐 English βš– 190 KB

I analyzed how the existence of futures markets affects the amount of a good stored for sale in a subsequent period, when (1) individuals holding the good face price risk because of demand fluctuations, and (2) they make their decisions using the correct (i.e., equilibrium) price distribution. Rando

Rational expectations and market efficie
✍ Matthew P. Schaefer; Robert J. Myers; Stephen R. Koontz πŸ“‚ Article πŸ“… 2004 πŸ› John Wiley and Sons 🌐 English βš– 135 KB πŸ‘ 2 views

## Abstract The role of proprietary information in forecasting and market efficiency in the U.S. live cattle futures market is investigated. Using a unique proprietary data source collected by a private firm, we test whether the initial estimates in the USDA __Cattle on Feed Report__ and the Knight

Noninformative and informative tests of
✍ Peroni, Emilio; McNown, Robert πŸ“‚ Article πŸ“… 1998 πŸ› John Wiley and Sons 🌐 English βš– 385 KB πŸ‘ 3 views

This article presents a critique of tests of market efficiency commonly applied to energy futures markets. Most of this literature fails to deal adequately with the endogeneity, nonstationarity, and cointegration characteristics of spot and futures prices, resulting in tests that are not informative

Heterogeneous expectations of traders in
✍ Darren L. Frechette; Robert D. Weaver πŸ“‚ Article πŸ“… 2001 πŸ› John Wiley and Sons 🌐 English βš– 141 KB

## Abstract The representative agent hypothesis is disputable on theoretical grounds because it is inconsistent with observed trading behavior and the existence of speculative markets. In such markets, the representative agent hypothesis implies agents hold homogeneous expectations. If this were tr

Efficiency tests in the Spanish futures
✍ Lee, Chun I.; Mathur, Ike πŸ“‚ Article πŸ“… 1999 πŸ› John Wiley and Sons 🌐 English βš– 477 KB πŸ‘ 3 views

The Spanish futures markets, the MEFF RENTA FIJA, and the MEFF RENTA VARIABLE, are among the fast-growing futures markets in the world. These markets are known for their cutting-edge technological innovations related to trading, providing information, clearing, and settlement. The growing importance