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
Rational expectations, risk and efficiency in energy futures markets
β 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.
π SIMILAR VOLUMES
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
## 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
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
## 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
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