The behavior and performance of major types of futures traders

Journal of Futures Markets

Volumn 23, Issue 1, 2003, Pages 1-31

  Wang, Changyun ^a  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0037211773     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/fut.10056     Document Type: Review

References (47)

1. Admati, A., & Pfleiderer, P. (1988). A theory of intraday patterns: Volume and price variability. Review of Financial Studies, 1, 3-40.
2. Bange, M. M. (2000). Do the portfolio of small investors reflect positive feedback trading? Journal of Financial and Quantitative Analysis, 35, 239-255.
3. Bessembinder, H. (1992). Systematic risk, hedging pressure, and risk premiums in futures markets. Review of Financial Studies, 5, 637-667.
4. Bessembinder, H., & Chan, K. (1992). Time-varying risk premia and forecastable returns in futures markets. Journal of Financial Economics, 32, 169-193.
5. Bjornson, B., & Carter, C. A. (1997). New evidence on agricultural commodity return performance under time-varying risk. American Journal of Agricultural Economics, 79, 918-930.
6. Bodie, Z., & Rosansky, V. J. (1980). Risk and return in commodity futures. Financial Analysts Journal, 36, 27-39.
7. Brorsen, B.W., & Irwin, S. H. (1987). Futures funds and price volatility. Review of Futures Market, 61, 19-135.
8. Chang, E. C. (1985). Returns to speculators and the theory of normal backwardation. Journal of Finance, 40, 193-208.
9. Chang, E. C., Pinegar, J. M., & Schachter, B. (1997). Interday variations in volume, variance and participation of large speculators. Journal of Banking and Finance, 21, 797-810.
10. De Long, B., Shleifer, A., Summers, L. H., & Waldmann, R. (1990). Noise trader risk in financial markets. Journal of Political Economy, 98, 703-738.
11. De Roon, F., Nijman, T. E., & Veld, C. (2000). Hedging pressure effects in futures markets. Journal of Finance, 55, 1437-1456.
12. Ederington, L., & Lee, J. H. (2002). Who trades futures and how: Evidence from the heating oil futures markets. Journal of Business, 75, 353-373.
13. Elton, E. J., Gruber, M. J., & Rentzler, J. C. (1987). Professionally managed, publicly traded commodity funds. Journal of Business, 60, 175-199.
14. Fama, E., & French F. (1989). Business conditions and expected returns on stocks and bonds. Journal of Financial Economics, 25, 23-49.
15. Gennotte, G., & Leland, H. (1990). Market liquidity, hedging, and crashes. American Economic Review, 80, 999-1021.
16. Gilbert, C. L. (1994). Commodity fund activity and the world cocoa market. London: London Commodity Exchange.
17. Graham, J. R., & Harvey, C. R. (1996). Market timing ability and volatility implied in investment newsletters' asset allocation recommendations. Journal of Financial Economics, 42, 397-421.
18. Grinblatt, M., & Keloharju, M. (2000). The investment behavior and performance of various investor types. Journal of Financial Economics, 55, 43-67.
19. Grinblatt, M., Titman, S, & Wermers, R. (1995). Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior. American Economic Review, 85, 1088-1105.
20. Grossman, S. (1988). An analysis of the implications for stock and futures price volatility of program hedging and dynamic hedging strategies. Journal of Business, 61, 275-298.
21. Hart, O., & Kreps, D. (1986). Price destabilizing speculation. Journal of Political Economy, 94, 927-952.
22. Hartzmark, M. L. (1987). Returns to individual traders of futures: Aggregate results. Journal of Political Economy, 95, 1292-1306.
23. Hartzmark, M. L. (1991). Luck versus forecast ability: Determinants of trader performance in futures markets. Journal of Business, 64, 49-74.
24. Hirshleifer, D. (1988). Residual risk, trading costs, and commodity futures risk premia. Review of Financial Studies, 1, 173-193.
25. Hirshleifer, D. (1990). Hedging pressure and futures price movements in a general equilibrium model. Econometrica, 58, 411-428.
26. Hong, H., & Stein, J. C. (1999). A unified theory of underreaction, momentum trading, and overreaction in asset markets. Journal of Finance, 54, 2143-2184.
27. Hull, J. C. (2000). Options, futures, and other derivatives, 4th ed. Englewood Cliffs, NJ: Prentice-Hall.
28. Irwin, S. H., & Yoshimaru, S. (1999). Managed futures, positive feedback trading, and futures price volatility. Journal of Futures Markets, 19, 759-776.
29. Jacobs, B. I. (1998). Option pricing theory and its unintended consequences. Journal of Investing, 7, 12-14.
30. Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance, 48, 65-91.
31. Kyle, A. S. (1985). Continuous auctions and insider trading. Econometirca, 53, 1315-1335.
32. Lakonishok, J., Shleifer, A., & Vishny, R. W. (1992). The impact of institutional trading on stock prices. Journal of Financial Economics, 32, 23-43.
33. Leuthold, R. M., Garcia, P., & Lu. R. (1994). The returns and forecasting ability of large traders in the frozen pork bellies futures market. Journal of Business, 67, 459-473.
34. Llorente, G., Michaely, R., Saar, G., & Wang, J. (in press). Dynamic volume-return relation of individual stocks. Journal of Finance, in press.
35. Lynch, A. W. (in press). Portfolio choices and equity characteristics: Characterizing the hedging demands induced return predictability. Journal of Financial Economics, in press.
36. Merton, R. (1973). An intertemporal capital asset pricing model. Econometrica, 41, 867-887.
37. Merton, R. (1987). A simple model of capital market equilibrium with incomplete information. Journal of Finance, 42, 483-451.
38. Mitchell, D. O., & Gilbert, C. (1997). Do hedge funds and commodity funds affect commodity prices? DECnote, World Bank.
39. Nofsinger, J. R., & Sias, R. W. (1999). Herding and feedback trading by institutional and individual investor. Journal of Finance, 54, 2263-2295.
40. Odean, T. (1998). Are investors reluctant to realize their losses? Journal of Finance, 53, 1775-1798.
41. Shefrin, H., & Statman, M. (1985). The disposition to sell winners too early and ride losers too long: Theory and evidence. Journal of Finance, 40, 287-792.
42. Shiller, R. (1984). Stock prices and social dynamics. Brookings Papers on Economic Activity, 2, 457-510.
43. Spiegel, M., & Subrahmanyam, A. (1992). Informed speculation and hedging in a non-competitive securities market. Review of Financial Studies, 5, 307-329.
44. Stein, J. C. (1987). Informational externalities and welfare-reducing speculation. Journal of Political Economy, 95, 1123-1145.
45. Wang, C. (2001). Investor sentiment and return predictability in agricultural futures markets. Journal of Futures Markets, 21, 929-952.
46. Wang, J. (1994). A model of competitive stock trading volume. Journal of Political Economy, 102, 127-168.
47. White, H. (1980). A heteroskedasticity-consistent matrix estimator and a direct test for heteroskedasticity. Econometrica, 48, 817-838.