메뉴 건너뛰기




Volumn 20, Issue 9, 2000, Pages 803-821

Normal backwardation is normal

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0034396968     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/1096-9934(200010)20:9<803::AID-FUT1>3.0.CO;2-Q     Document Type: Article
Times cited : (19)

References (31)
  • 1
    • 84926275665 scopus 로고
    • Hedger diversity in futures markets
    • Andersen, R., & Danthine, J. P. (1983). Hedger diversity in futures markets. Economic Journal, 93, 370-389.
    • (1983) Economic Journal , vol.93 , pp. 370-389
    • Andersen, R.1    Danthine, J.P.2
  • 2
    • 0001758906 scopus 로고
    • Heteroscedasticity and autocorrelation consistent covariance matrix estimation
    • Andrews, D. W. K. (1991). Heteroscedasticity and autocorrelation consistent covariance matrix estimation. Econometrica, 59, 817-858.
    • (1991) Econometrica , vol.59 , pp. 817-858
    • Andrews, D.W.K.1
  • 3
    • 0001162133 scopus 로고
    • Tests for parameter instability and structural change with unknown change point
    • Andrews, D. W. K. (1993). Tests for parameter instability and structural change with unknown change point. Econometrica, 61, 821-856.
    • (1993) Econometrica , vol.61 , pp. 821-856
    • Andrews, D.W.K.1
  • 5
    • 21144460194 scopus 로고
    • Systematic risk, hedging pressure, and risk premiums in futures markets
    • Bessembinder, H. (1992). Systematic risk, hedging pressure, and risk premiums in futures markets. Review of Financial Studies, 5, 637-667.
    • (1992) Review of Financial Studies , vol.5 , pp. 637-667
    • Bessembinder, H.1
  • 6
    • 38249008741 scopus 로고
    • Time varying risk premia and forecastable returns in futures markets
    • Bessembinder, H., & Chan, K. (1992). Time varying risk premia and forecastable returns in futures markets. Journal of Financial Economics, 32, 169-193.
    • (1992) Journal of Financial Economics , vol.32 , pp. 169-193
    • Bessembinder, H.1    Chan, K.2
  • 8
    • 0000721981 scopus 로고
    • Efficient asset portfolios and the theory of normal backwardation
    • Carter, C. A., Rausser, G. C., & Schmitz, A. (1983). Efficient asset portfolios and the theory of normal backwardation. Journal of Political Economy, 91, 319-331.
    • (1983) Journal of Political Economy , vol.91 , pp. 319-331
    • Carter, C.A.1    Rausser, G.C.2    Schmitz, A.3
  • 10
    • 84978554555 scopus 로고
    • Risk and return in copper, platinum, and silver futures
    • Chang, E., Chen, C., & Chen, S. (1990). Risk and return in copper, platinum, and silver futures. The Journal of Futures Markets, 10, 29-39.
    • (1990) The Journal of Futures Markets , vol.10 , pp. 29-39
    • Chang, E.1    Chen, C.2    Chen, S.3
  • 11
    • 0000496978 scopus 로고
    • Economic forces and the stock market
    • Chen, N., Roll, R., & Ross, S. A. (1986). Economic forces and the stock market. Journal of Business, 59, 383-403.
    • (1986) Journal of Business , vol.59 , pp. 383-403
    • Chen, N.1    Roll, R.2    Ross, S.A.3
  • 12
    • 0000914425 scopus 로고
    • Futures trading and investor returns: An investigation of commodity market risk premium
    • Dusak, C. (1973). Futures trading and investor returns: An investigation of commodity market risk premium. Journal of Political Economy, 81, 1387-1406.
    • (1973) Journal of Political Economy , vol.81 , pp. 1387-1406
    • Dusak, C.1
  • 13
    • 84978547025 scopus 로고
    • An application of arbitrage pricing theory to futures markets: Tests of normal backwardation
    • Ehrhardt, M. C., Jordan, J. V., & Walkling, R. A. (1987). An application of arbitrage pricing theory to futures markets: Tests of normal backwardation. The Journal of Futures Markets, 7, 21-34.
    • (1987) The Journal of Futures Markets , vol.7 , pp. 21-34
    • Ehrhardt, M.C.1    Jordan, J.V.2    Walkling, R.A.3
  • 14
    • 0039758371 scopus 로고    scopus 로고
    • The conditional performance of insider trades
    • Eckbo, B., & Smith, D. (1998). The conditional performance of insider trades. Journal of Finance, 53, 467-498.
    • (1998) Journal of Finance , vol.53 , pp. 467-498
    • Eckbo, B.1    Smith, D.2
  • 15
    • 34250890715 scopus 로고
    • Business conditions and expected returns on stocks and bonds
    • Fama, E. F., & French, K. R. (1989). Business conditions and expected returns on stocks and bonds. Journal of Financial Economics, 25, 23-49.
    • (1989) Journal of Financial Economics , vol.25 , pp. 23-49
    • Fama, E.F.1    French, K.R.2
  • 16
    • 38549147867 scopus 로고
    • Common risk factors in the returns on stocks and bonds
    • Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3-56.
    • (1993) Journal of Financial Economics , vol.33 , pp. 3-56
    • Fama, E.F.1    French, K.R.2
  • 17
    • 21344486016 scopus 로고
    • The risk and predictability of international equity returns
    • Ferson, W. E., & Harvey, C. (1993). The risk and predictability of international equity returns. Review of Financial Studies, 6, 527-566.
    • (1993) Review of Financial Studies , vol.6 , pp. 527-566
    • Ferson, W.E.1    Harvey, C.2
  • 18
    • 0000425816 scopus 로고
    • Time-varying conditional covariances in tests of asset pricing models
    • Harvey, C. (1989). Time-varying conditional covariances in tests of asset pricing models. Journal of Financial Economics, 24, 289-317.
    • (1989) Journal of Financial Economics , vol.24 , pp. 289-317
    • Harvey, C.1
  • 19
    • 21844487168 scopus 로고
    • Predictable risk and returns in emerging markets
    • Harvey, C. (1995). Predictable risk and returns in emerging markets. Review of Financial Studies, 8, 773-816.
    • (1995) Review of Financial Studies , vol.8 , pp. 773-816
    • Harvey, C.1
  • 20
    • 0000414660 scopus 로고
    • Large sample properties of generalized method of moments estimators
    • Hansen, L. (1982). Large sample properties of generalized method of moments estimators. Econometrica, 50, 1029-1054.
    • (1982) Econometrica , vol.50 , pp. 1029-1054
    • Hansen, L.1
  • 21
    • 0000486548 scopus 로고
    • The performance of mutual funds in the period 1945-1964
    • Jensen, M. C. (1968). The performance of mutual funds in the period 1945-1964. Journal of Finance, 23, 389-416.
    • (1968) Journal of Finance , vol.23 , pp. 389-416
    • Jensen, M.C.1
  • 23
    • 0010784141 scopus 로고
    • Is normal backwardation normal?
    • Kolb, R. (1992). Is normal backwardation normal? The Journal of Futures Markets, 12, 75-91.
    • (1992) The Journal of Futures Markets , vol.12 , pp. 75-91
    • Kolb, R.1
  • 24
    • 0030521528 scopus 로고    scopus 로고
    • The systematic risk of futures contracts
    • Kolb, R. (1996). The systematic risk of futures contracts. The Journal of Futures Markets, 16, 631-654.
    • (1996) The Journal of Futures Markets , vol.16 , pp. 631-654
    • Kolb, R.1
  • 25
    • 84934752828 scopus 로고
    • Efficient asset portfolios and the theory of normal backwardation: A comment
    • Marcus, A. (1984). Efficient asset portfolios and the theory of normal backwardation: A comment. Journal of Political Economy, 92, 162-164.
    • (1984) Journal of Political Economy , vol.92 , pp. 162-164
    • Marcus, A.1
  • 26
    • 84984455252 scopus 로고
    • Single beta models and currency futures prices
    • McCurdy, T., & Morgan, I. (1991). Single beta models and currency futures prices. Economic Record, 117-129.
    • (1991) Economic Record , pp. 117-129
    • McCurdy, T.1    Morgan, I.2
  • 27
    • 0011428033 scopus 로고
    • Evidence of risk premiums in foreign currency futures markets
    • McCurdy, T., & Morgan, I. (1992). Evidence of risk premiums in foreign currency futures markets. Review of Financial Studies, 5, 65-83.
    • (1992) Review of Financial Studies , vol.5 , pp. 65-83
    • McCurdy, T.1    Morgan, I.2
  • 28
    • 0040723002 scopus 로고    scopus 로고
    • Efficiency in the pricing of the FTSE 100 futures contract
    • forthcoming
    • Miffre, J. (2000). Efficiency in the pricing of the FTSE 100 futures contract. European Financial Management (forthcoming).
    • (2000) European Financial Management
    • Miffre, J.1
  • 29
    • 0001751260 scopus 로고
    • Hypothesis testing with efficient method of moments estimation
    • Newey, W. K., & West, K. D. (1987). Hypothesis testing with efficient method of moments estimation. International Economic Review, 28, 777-787.
    • (1987) International Economic Review , vol.28 , pp. 777-787
    • Newey, W.K.1    West, K.D.2
  • 30
    • 0010780203 scopus 로고
    • A further investigation of the risk-return relation for commodity futures
    • Park, H., Wei, J., & Frecka, T. (1988). A further investigation of the risk-return relation for commodity futures. Advances in Futures and Option Research, 3, 357-377.
    • (1988) Advances in Futures and Option Research , vol.3 , pp. 357-377
    • Park, H.1    Wei, J.2    Frecka, T.3
  • 31
    • 0010848328 scopus 로고
    • Macroeconomic forces and risk premiums on commodity futures
    • Young, D. (1991). Macroeconomic forces and risk premiums on commodity futures. Advances in Futures and Options Research, 5, 241-254.
    • (1991) Advances in Futures and Options Research , vol.5 , pp. 241-254
    • Young, D.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.