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An Investigation of Commodity Futures Prices Using the Consumption-Based Intertemporal Capital Asset Pricing Model
The Journal of Finance
Vol. 40, No. 1 (Mar., 1985), pp. 175-191
Stable URL: http://www.jstor.org/stable/2328054
Page Count: 17
You can always find the topics here!Topics: Prices, Soybeans, Futures contracts, Commodities, Finance, Commodity prices, Corn, Consumer prices, Commodity futures, Capital asset pricing models
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In this paper we extend the multigood futures pricing model of Grauer and Litzenberger  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.
The Journal of Finance © 1985 American Finance Association