Journal ArticleDOI
Commodity futures: trends or random walks?
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This article is published in Journal of Finance.The article was published on 1970-03-01. It has received 196 citations till now. The article focuses on the topics: Futures contract & Random walk.read more
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Bivariate garch estimation of the optimal commodity futures Hedge
TL;DR: In this article, Bivariate GARCH models of cash and futures prices are estimated for the same six commodities and the optimal hedge ratio (OHR) is calculated as a ratio of the conditional covariance between Cash and futures to the conditional variance of futures.
Posted Content
The Debate Over Doing Good: Corporate Social Performance, Strategic Marketing Levers, and Firm-Idiosyncratic Risk
TL;DR: In this article, the authors developed a theoretical framework that predicts the impact of corporate social performance on firm-idiosyncratic risk and the role of two strategic marketing levers, advertising and research and development (R&D), in explaining the variability of this impact among different firms.
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Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums
TL;DR: In this article, 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.
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What do we know about the profitability of technical analysis
Cheol Ho Park,Scott H. Irwin +1 more
TL;DR: In this article, the authors reviewed the evidence on the profitability of technical analysis and categorized the empirical literature into two groups, early and modern studies, according to the characteristics of testing procedures, and found that technical trading strategies are profitable in foreign exchange markets and futures markets, but not in stock markets.
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Corporate Governance, Idiosyncratic Risk, and Information Flow
TL;DR: This paper studied the relationship between corporate governance policy and idiosyncratic risk in stock returns and found that firms with fewer anti-takeover provisions display higher levels of idiosyncratic risks, trading activity, and more information about future earnings in stock prices.
References
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Filter Rules and Stock-Market Trading
Eugene F. Fama,Marshall E. Blume +1 more
TL;DR: In this article, the authors consider a random-walk market, where successive price changes in individual securities are independent random variables and the past history of a series of changes cannot be used to predict future changes in any "meaningful" way.
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