I examine the uniformity of risk pricing in futures and asset markets. Tests against a general
alternative do not reject complete integration of futures and asset markets. As predicted …

We build an equilibrium model of commodity markets in which speculators are capital
constrained, and commodity producers have hedging demands for commodity futures …

Organized exchanges have evolved methods for enforcing contracts, which allow the
contracts themselves to be traded at low cost. Theorists have modeled futures contracts as …

Futures trading has exploded since 1970. As the number of futures markets has grown and
the number of participants increased, numerous policy questions regarding futures markets …

Optimal futures hedging and equilibrium futures price bias are examined in a model
characterized by two consumption goods, one of which has stochastically varying output …

There has long been substantial interest in understanding the relative pricing of forward and
futures contracts. This has led to the development of two standard theories of forward and …

In the history of alleged manipulations on forward markets, it has been observed that high
prices resulted from a cartel's long positions. The present paper addresses this issue in a …

This paper analyzes the optimal production and hedging decisions for firms facing futures
price, basis and production risk, assuming futures and options can be used. Using CARA …

We consider the hedging problem of a firm that has three sources of risk: price, basis, and
yield uncertainty. An exact solution for the optimal futures hedge is derived under the …

This paper examines the determinants of commodity futures hedging and of risk premia
arising from covariation of the futures price with stock market returns, and with the revenues …