This article provides a simple equilibrium model of a futures market. Since the futures market is a zero sum game, some firms will, in equilibrium, end up being \u27speculators\u27 who bet against \u27hedgers\u27. We show it is firms that have high initial capital and/or poor production opportunities that are the most likely candidates to bet against the hedgers. In equilibrium, these groups earn a premium in order to provide this insurance so that speculating increases value. We also provide some results that imply an inverted U shaped relationship between trading volume and the level of futures prices. Empirical evidence from the S&P futures contract provides strong empirical support for this theoretical result. © 2009 Taylor & Francis
This article examines the behavior and performance of speculators and hedgers in 15 U.S. futures mar...
120 p.Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2008.The objective of this dissert...
We propose a simple equilibrium model, where the physical and the derivative markets of the commodi...
This paper studies the qualitative properties of a model of futures market equilibrium. We character...
This paper studies why UK non-financial firms hedge with potato futures contracts. It is found that ...
issue of whether hedgers must pay speculators an insurance premium has remained controversial. Recen...
This paper studies why UK non-financial firms hedge with potato futures contracts. It is found that ...
This paper develops an alternative view on the motivation to hedge. A conceptual model shows how hed...
This study examines the behavior of the competitive firm under output price uncertainty and state-de...
This article develops an alternative view on the motivation to hedge. A conceptual model shows how h...
265 p.Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 1984.Five hedging models represent...
This paper examines the impact of investor preferences on the optimal futures hedging strategy and ...
This study examines the optimal design of a futures hedge program for the competitive firm under out...
This article develops an alternative view on the motivation to hedge. A conceptual model shows how h...
There is a literature (e.g., Allaz and Vila, 1992 and Hughes and Kao, 1997) showing that in an oligo...
This article examines the behavior and performance of speculators and hedgers in 15 U.S. futures mar...
120 p.Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2008.The objective of this dissert...
We propose a simple equilibrium model, where the physical and the derivative markets of the commodi...
This paper studies the qualitative properties of a model of futures market equilibrium. We character...
This paper studies why UK non-financial firms hedge with potato futures contracts. It is found that ...
issue of whether hedgers must pay speculators an insurance premium has remained controversial. Recen...
This paper studies why UK non-financial firms hedge with potato futures contracts. It is found that ...
This paper develops an alternative view on the motivation to hedge. A conceptual model shows how hed...
This study examines the behavior of the competitive firm under output price uncertainty and state-de...
This article develops an alternative view on the motivation to hedge. A conceptual model shows how h...
265 p.Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 1984.Five hedging models represent...
This paper examines the impact of investor preferences on the optimal futures hedging strategy and ...
This study examines the optimal design of a futures hedge program for the competitive firm under out...
This article develops an alternative view on the motivation to hedge. A conceptual model shows how h...
There is a literature (e.g., Allaz and Vila, 1992 and Hughes and Kao, 1997) showing that in an oligo...
This article examines the behavior and performance of speculators and hedgers in 15 U.S. futures mar...
120 p.Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2008.The objective of this dissert...
We propose a simple equilibrium model, where the physical and the derivative markets of the commodi...