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An Investigation of Commodity Futures Prices Using the Consumption-Based Intertemporal Capital Asset Pricing Model

Ravi Jagannathan
The Journal of Finance
Vol. 40, No. 1 (Mar., 1985), pp. 175-191
Published by: Wiley for the American Finance Association
DOI: 10.2307/2328054
Stable URL: http://www.jstor.org/stable/2328054
Page Count: 17
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An Investigation of Commodity Futures Prices Using the Consumption-Based Intertemporal Capital Asset Pricing Model
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Abstract

In this paper we extend the multigood futures pricing model of Grauer and Litzenberger [9] to a dynamic discrete time setting. We then test the model using data on futures prices for corn, wheat, and soybeans. The parameter estimates we obtain are similar to those obtained by other researchers using stock return data. The model itself is rejected and we offer some suggestions as to which assumption may be violated. We also give an interpretation to the Hansen-Singleton nonlinear instrumental variables estimation technique used in our empirical work.

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