Returns to Speculators and the Theory of Normal Backwardation
説明
<jats:title>ABSTRACT</jats:title><jats:p>A nonparametric statistical procedure is employed to examine the returns to speculators in wheat, corn, and soybeans futures markets. We find that the theory of normal backwardation is supported. Moreover, the presence of the risk premiums to speculators tends to be more prominent in recent years than in earlier years. We also find that large wheat speculators as a whole possessed some superior forecasting ability. The evidence is inconsistent with the hypothesis that commodity futures prices are unbiased estimates of the corresponding future spot prices.</jats:p>
収録刊行物
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- The Journal of Finance
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The Journal of Finance 40 (1), 193-208, 1985-03
Wiley
