An Investigation into the Equilibrium Structure of the Commodity Futures Market Anomaly
作者:
J. Austin Murphy,
Jimmy E. Hilliard,
期刊:
Financial Review
(WILEY Available online 1989)
卷期:
Volume 24,
issue 1
页码: 1-18
ISSN:0732-8516
年代: 1989
DOI:10.1111/j.1540-6288.1989.tb00327.x
出版商: Blackwell Publishing Ltd
数据来源: WILEY
摘要:
AbstractCommodity futures contracts are shown to be characterized by indivisibility problems and tax disadvantages. An empirical test demonstrates that long futures investors were compensated for these drawbacks prior to the mid‐1970s. However, compensation for the investment disadvantages of commodity futures ceased to exist after 1974. The year 1974 is significant because barriers to institutional investment in the futures market were removed in that yea
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