Title: The Hedging Performance of the New Futures Markets
Abstract: The Journal of FinanceVolume 34, Issue 1 p. 157-170 Article The Hedging Performance of the New Futures Markets LOUIS H. EDERINGTON, LOUIS H. EDERINGTONAssociate Professor, Georgia State University. The author would like to acknowledge the helpful comments of Bruce Fielitz, Ed Ulveling, and Jerome Stein. This research was supported in part by the Bureau of Business and Economic Research of Georgia State University.Search for more papers by this author LOUIS H. EDERINGTON, LOUIS H. EDERINGTONAssociate Professor, Georgia State University. The author would like to acknowledge the helpful comments of Bruce Fielitz, Ed Ulveling, and Jerome Stein. This research was supported in part by the Bureau of Business and Economic Research of Georgia State University.Search for more papers by this author First published: March 1979 https://doi.org/10.1111/j.1540-6261.1979.tb02077.xCitations: 766 Read the full textAboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onEmailFacebookTwitterLinkedInRedditWechat REFERENCES 1P. W. Bacon, and R. E. Williams, 1976. " Interest Rate Futures: New Tool for the Financial Manager," Financial Management (Spring, 1976), pp 32–38. Google Scholar 2B. Branch, 1978. " Testing the Unbiased Expectations Theory of Interest Rates." Paper presented at 1978 annual meeting of the Eastern Finance Association. Google Scholar 3A. E. Burger, R. W. Lang, and R. H. Rasche, 1977. "The Treasury Bill Futures Market and Market Expectations of Interest Rates," Review of the Federal Reserve Bank of St. Louis, Vol 59, No. 6, pp 2–11. Google Scholar 4Bradford Cornell, 1977. "Spot Rates, Forward Rates and Exchange Market Efficiency," Journal of Financial Economics (August 1977), pp 55–60. 10.1016/0304-405X(77)90029-0 Web of Science®Google Scholar 5W. H. Duncan, 1977. " Treasury Bill Futures—Opportunities and Pitfalls," Review of the Federal Reserve Bank of Dallas (July, 1977). Google Scholar 6L. E. Ederington, and W. E. Plumly, 1976. " The New Futures Market in Financial Securities," Futures Trading Seminar Proceedings, Vol IV, Chicago Board of Trade. Google Scholar 7E. F. Fama, 1976. "Forward Rates as Predictors of Future Spot Rates," Journal of Financial Economics (Oct., 1976), pp 361–378. 10.1016/0304-405X(76)90027-1 Web of Science®Google Scholar 8J. R. Hicks, 1946. Value and Capital (London: Oxford University Press) second edition. Google Scholar 9T. E. Holland, 1965. " A Note on the Traditional Theory of the Term Structure of Interest Rates on Three-and-Six-Month Treasury Bills," International Economic Review (September, 1965), pp 330–36. Google Scholar 10S. F. Jacobs, and J. R. Kozuch, 1975. " Is There a Future for a Mortgage Futures Market," The Mortgage Banker. Google Scholar 11L. L. Johnson, 1960. "The Theory of Hedging and Speculation in Commodity Futures," Review of Economic Studies. Vol 27, No. 3, pp 139–51. 10.2307/2296076 Web of Science®Google Scholar 12J. B. Michaelsen, 1973. The Term Structure of Interest Rates (New York: Interest Educational Publishers). Google Scholar 13J. H. McCulloch, 1975. "An Estimate of the Liquidity Premium," Journal of Political Economy ((February 1975), pp 95–119. 10.1086/260308 Web of Science®Google Scholar 14A. E. Peck, 1977. Selected Writings on Futures Markets, Vol II (Chicago: Board of Trade of the City of Chicago). Google Scholar 15R. L. Sandor, 1975. "Trading Mortgage Interest Rate Futures," Federal Home Loan Bank Board Journal (September, 1975), pp 2–9. Google Scholar 16B. Smith, 1976. " Trading Complexities, FHLBB Rules Impede Association Activity," Savings and Loan News (January, 1976). Google Scholar 17J. L. Stein, 1961. "The Simultaneous Determination of Spot and Futures Prices," American Economic Review, Vol LI, No. 5. Google Scholar 18N. A. Stevens, 1976. " A Mortgage Futures Market: Its Development, Uses, Benefits and Cost," Review of the Federal Reserve Bank of St. Louis (April, 1976). Google Scholar 19L. G. Telser, and H. N. Higinbotham, 1977. "Organized Futures Markets: Costs and Benefits," Journal of Political Economy (October, 1977), Vol 85, pp 969–1000. 10.1086/260617 Web of Science®Google Scholar 20H. Working, 1953. " Futures Trading and Hedging," American Economic Review (June, 1953), pp 314–343. Google Scholar 21H. Working, 1962. " New Concepts Concerning Futures Markets and Prices," American Economic Review (June, 1962), pp 431–459. Google Scholar Citing Literature Volume34, Issue1March 1979Pages 157-170 ReferencesRelatedInformation
Publication Year: 1979
Publication Date: 1979-03-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 237
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