Access

You are not currently logged in.

Access JSTOR through your library or other institution:

login

Log in through your institution.

If You Use a Screen Reader

This content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.

Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums

Katherine Dusak
Journal of Political Economy
Vol. 81, No. 6 (Nov. - Dec., 1973), pp. 1387-1406
Stable URL: http://www.jstor.org/stable/1830746
Page Count: 20
  • Read Online (Free)
  • Download ($14.00)
  • Subscribe ($19.50)
  • Add to My Lists
  • Cite this Item
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums
Preview not available

Abstract

The long-standing controversy over whether speculators in a futures market earn a risk premium is analyzed within the context of the capital asset pricing model recently developed by Sharpe, Lintner, and others. Under that approach the risk premium required on a futures contract should depend not on the variability of prices but on the extent to which the variations in prices are systematically related to variations in the return on total wealth. The systematic risk was estimated for a sample of wheat, corn, and soybean futures contracts over the period 1952 to 1967 and found to be close to zero in all three cases. Average realized holding period returns on the contracts over the same period were close to zero.

Page Thumbnails

  • Thumbnail: Page 
1387
    1387
  • Thumbnail: Page 
1388
    1388
  • Thumbnail: Page 
1389
    1389
  • Thumbnail: Page 
1390
    1390
  • Thumbnail: Page 
1391
    1391
  • Thumbnail: Page 
1392
    1392
  • Thumbnail: Page 
1393
    1393
  • Thumbnail: Page 
1394
    1394
  • Thumbnail: Page 
1395
    1395
  • Thumbnail: Page 
1396
    1396
  • Thumbnail: Page 
1397
    1397
  • Thumbnail: Page 
1398
    1398
  • Thumbnail: Page 
1399
    1399
  • Thumbnail: Page 
1400
    1400
  • Thumbnail: Page 
1401
    1401
  • Thumbnail: Page 
1402
    1402
  • Thumbnail: Page 
1403
    1403
  • Thumbnail: Page 
1404
    1404
  • Thumbnail: Page 
1405
    1405
  • Thumbnail: Page 
1406
    1406