Returns to Individual Traders of Futures: Aggregate Results

Abstract

Previous articleNext article No AccessReturns to Individual Traders of Futures: Aggregate ResultsMichael L. HartzmarkMichael L. Hartzmark Search for more articles by this author PDFPDF PLUS Add to favoritesDownload CitationTrack CitationsPermissionsReprints Share onFacebookTwitterLinkedInRedditEmail SectionsMoreDetailsFiguresReferencesCited by Journal of Political Economy Volume 95, Number 6Dec., 1987 Article DOIhttps://doi.org/10.1086/261516 Views: 14Total views on this site Citations: 83Citations are reported from Crossref Copyright 1987 The University of ChicagoPDF download Crossref reports the following articles citing this article:Nicole M. Moran, Scott H. Irwin, Philip Garcia Who Wins and Who Loses? Trader Returns and Risk Premiums in Agricultural Futures Markets, Applied Economic Perspectives and Policy 42, no.44 (Apr 2020): 611–652.https://doi.org/10.1002/aepp.13048Guillermo Llorente, Jiang Wang Trading and information in futures markets, Journal of Futures Markets 40, no.88 (Dec 2019): 1231–1263.https://doi.org/10.1002/fut.22079Adil Gürsel Karaçor, Turan Erman Erkan Exploiting Visual Features in Financial Time Series Prediction, International Journal of Cognitive Informatics and Natural Intelligence 14, no.22 (Apr 2020): 61–76.https://doi.org/10.4018/IJCINI.2020040104Anabelle Couleau, Teresa Serra, Philip Garcia Are Corn Futures Prices Getting “Jumpy”?, American Journal of Agricultural Economics 102, no.22 (Jan 2020): 569–588.https://doi.org/10.1002/ajae.12030WENJIN KANG, K. GEERT ROUWENHORST, KE TANG A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets, The Journal of Finance 75, no.11 (Nov 2019): 377–417.https://doi.org/10.1111/jofi.12845Joshua Huang, Teresa Serra, Philip Garcia Are futures prices good price forecasts? Underestimation of price reversion in the soybean complex, European Review of Agricultural Economics 47, no.11 (Mar 2019): 178–199.https://doi.org/10.1093/erae/jbz009Kentaro Iwatsubo, Clinton Watkins Who influences the fundamental value of commodity futures in Japan?, International Review of Financial Analysis 67 (Jan 2020): 101404.https://doi.org/10.1016/j.irfa.2019.101404Sang Kim, Hee Lee, Han Ko, Seung Jeong, Hyun Byun, Kyong Oh Pattern Matching Trading System Based on the Dynamic Time Warping Algorithm, Sustainability 10, no.1212 (Dec 2018): 4641.https://doi.org/10.3390/su10124641, Ikhlaas Gurrib The relationship between the Nasdaq Composite Index and energy futures markets, Investment Management and Financial Innovations 15, no.44 (Oct 2018): 1–17.https://doi.org/10.21511/imfi.15(4).2018.01Naomi E. Boyd, Jeffrey H. Harris, Bingxin Li An update on speculation and financialization in commodity markets, Journal of Commodity Markets 10 (Jun 2018): 91–104.https://doi.org/10.1016/j.jcomm.2018.05.005Kevin Jones An Examination of Prices on the MISO Exchange, (Mar 2018): 57–73.https://doi.org/10.1108/S0196-382120170000034003Naomi E. Boyd, Bahattin Büyükşahin, Michael S. Haigh, Jeffrey H. Harris The Prevalence, Sources, and Effects of Herding, Journal of Futures Markets 36, no.77 (Sep 2015): 671–694.https://doi.org/10.1002/fut.21756 References, (Sep 2015): 251–256.https://doi.org/10.1002/9781119201861.refsScott Sumner Nominal GDP futures targeting, Journal of Financial Stability 17 (Apr 2015): 65–75.https://doi.org/10.1016/j.jfs.2014.10.001James D. Hamilton, Jing Cynthia Wu EFFECTS OF INDEX-FUND INVESTING ON COMMODITY FUTURES PRICES, International Economic Review 56, no.11 (Jan 2015): 187–205.https://doi.org/10.1111/iere.12099Guillermo Llorente, Jiang Wang Trading and Information in Futures Markets, SSRN Electronic Journal (Jan 2015).https://doi.org/10.2139/ssrn.2605347 Jaehwan Park The Impact of Open Interests in Commodity Futures Markets, Korean Journal of Financial Engineering 13, no.44 (Dec 2014): 65–91.https://doi.org/10.35527/kfedoi.2014.13.4.004Ing-Haw Cheng, Wei Xiong Financialization of Commodity Markets, Annual Review of Financial Economics 6, no.11 (Dec 2014): 419–441.https://doi.org/10.1146/annurev-financial-110613-034432Celso Brunetti, David Reiffen Commodity index trading and hedging costs, Journal of Financial Markets 21 (Nov 2014): 153–180.https://doi.org/10.1016/j.finmar.2014.08.001Chun-Nan Chen, Carl R Chen, Ying Sophie Huang Which Types of Traders and Orders Profit from Futures Market Trading?, The Journal of Derivatives (May 2014): 140513042531005.https://doi.org/10.3905/jod.2014.2014.1.035Chun-Nan Chen, Carl R Chen, Ying Sophie Huang Which Types of Traders and Orders Profit from Futures Market Trading?, The Journal of Derivatives 21, no.44 (May 2014): 49–62.https://doi.org/10.3905/jod.2014.21.4.049Bahattin Büyükşahin, Michel A. Robe Speculators, commodities and cross-market linkages, Journal of International Money and Finance 42 (Apr 2014): 38–70.https://doi.org/10.1016/j.jimonfin.2013.08.004Carolyn W. Chang, Jack S. K. Chang, Min-Ming Wen Optimum Hurricane Futures Hedge in a Warming Environment: A Risk-Return Jump-Diffusion Approach, Journal of Risk and Insurance 81, no.11 (Nov 2012): 199–217.https://doi.org/10.1111/j.1539-6975.2012.01492.xAndreas Röthig, Andreea Röthig Time-Varying Cross-Speculation in Currency Futures Markets: An Empirical Analysis, (Jul 2014): 225–233.https://doi.org/10.1007/978-3-319-07470-2_13Michaël Dewally, Louis H. Ederington, Chitru S. Fernando Determinants of Trader Profits in Commodity Futures Markets, Review of Financial Studies 26, no.1010 (Aug 2013): 2648–2683.https://doi.org/10.1093/rfs/hht048Nicole M. Aulerich, Scott H. Irwin, Philip Garcia Returns to individual traders in agricultural futures markets: skill or luck?, Applied Economics 45, no.2525 (Sep 2013): 3650–3666.https://doi.org/10.1080/00036846.2012.727979Kevin Jones Negative Pricing in U.S. Electric Power Production and Distribution, (Sep 2014): 153–165.https://doi.org/10.1108/S0196-3821(2013)0000029009James D. Hamilton, Jing Cynthia Wu Effects of Index-Fund Investing on Commodity Futures Prices, SSRN Electronic Journal (Jan 2013).https://doi.org/10.2139/ssrn.2321280Michael Adjemian, Philip Garcia, Scott H. Irwin, Aaron Smith Non-Convergence in Domestic Commodity Futures Markets: Causes, Consequences, and Remedies, SSRN Electronic Journal (Jan 2013).https://doi.org/10.2139/ssrn.2323646Ing-Haw Cheng, Wei Xiong The Financialization of Commodity Markets, SSRN Electronic Journal (Jan 2013).https://doi.org/10.2139/ssrn.2350243Yang Zhang Investor Sentiment and Forecasting Ability: Evidence from COT Reports in Precious Metal Futures Markets, SSRN Electronic Journal (Jan 2013).https://doi.org/10.2139/ssrn.2382299K. Geert Rouwenhorst, Ke Tang Commodity Investing, Annual Review of Financial Economics 4, no.11 (Oct 2012): 447–467.https://doi.org/10.1146/annurev-financial-110311-101716Dwight R. Sanders, Scott H. Irwin A Reappraisal of Investing in Commodity Futures Markets, Applied Economic Perspectives and Policy 34, no.33 (Jun 2012): 515–530.https://doi.org/10.1093/aepp/pps026Raymond P.H. Fishe, Aaron D. Smith Identifying informed traders in futures markets, Journal of Financial Markets 15, no.33 (Aug 2012): 329–359.https://doi.org/10.1016/j.finmar.2011.08.006Lambros Goulas, George Skiadopoulos Are freight futures markets efficient? Evidence from IMAREX, International Journal of Forecasting 28, no.33 (Jul 2012): 644–659.https://doi.org/10.1016/j.ijforecast.2011.11.004Michael K. Adjemian, Aaron Smith Using USDA Forecasts to Estimate the Price Flexibility of Demand for Agricultural Commodities, American Journal of Agricultural Economics 94, no.44 (Jul 2012): 978–995.https://doi.org/10.1093/ajae/aas032Aaron Tornell, Chunming Yuan Speculation and hedging in the currency futures markets: Are they informative to the spot exchange rates, Journal of Futures Markets 32, no.22 (Feb 2011): 122–151.https://doi.org/10.1002/fut.20511Kevin Jones Chapter 7 Risk Management and Market Efficiency on the Midwest Independent System Operator Electricity Exchange, (Mar 2015): 125–176.https://doi.org/10.1108/S0196-3821(2012)0000028010Celso Brunetti, David Reiffen Commodity Index Trading and Hedging Costs, SSRN Electronic Journal (Jan 2012).https://doi.org/10.2139/ssrn.1727723K. Geert Rouwenhorst, Ke Tang Commodity Investing, SSRN Electronic Journal (Jan 2012).https://doi.org/10.2139/ssrn.2079664Eirini Konstantinidi, George Skiadopoulos Are VIX futures prices predictable? An empirical investigation, International Journal of Forecasting 27, no.22 (Apr 2011): 543–560.https://doi.org/10.1016/j.ijforecast.2009.11.004Scott H. Irwin, Dwight R. Sanders Index Funds, Financialization, and Commodity Futures Markets, Applied Economic Perspectives and Policy 33, no.11 (Mar 2011): 1–31.https://doi.org/10.1093/aepp/ppq032Louis H. Ederington, Michael Dewally, Chitru S. Fernando Determinants of Trader Profits in Futures Markets, SSRN Electronic Journal (Jan 2011).https://doi.org/10.2139/ssrn.1781975Nicole Aulerich, Scott H. Irwin, Philip Garcia Returns to Traders and Existences of a Risk Premium of a Risk Premium in Agricultural Futures Markets, SSRN Electronic Journal (Jan 2011).https://doi.org/10.2139/ssrn.1850889Sanjay Kumar Thakur Can 'Time-Invariant' Hedges Estimated from Time-Varying Hedge Models Outperform Time-Invariant Hedges Even During Period of Financial Crisis? An Empirical Investigation of Indian Futures Market, SSRN Electronic Journal (Jan 2011).https://doi.org/10.2139/ssrn.1915124Bahattin Buyuksahin, Michel A. Robe Does 'Paper Oil' Matter? Energy Markets’ Financialization and Equity-Commodity Co-Movements, SSRN Electronic Journal 109 (Jan 2011).https://doi.org/10.2139/ssrn.1855264Joost M. E. Pennings, Philip Garcia RISK AND HEDGING BEHAVIOR: THE ROLE AND DETERMINANTS OF LATENT HETEROGENEITY, Journal of Financial Research 33, no.44 (Dec 2010): 373–401.https://doi.org/10.1111/j.1475-6803.2010.01279.xJohn E Marthinsen, Yunwei Gai Did Amaranth Advisors LLC engage in interday price manipulation in the natural gas futures market?, Journal of Derivatives & Hedge Funds 15, no.44 (Jan 2010): 261–273.https://doi.org/10.1057/jdhf.2009.23Michael Dewally, Louis H. Ederington, Chitru S. Fernando Determinants of Trading Profits of Individual Traders: Risk Premia or Information?, SSRN Electronic Journal (Jan 2010).https://doi.org/10.2139/ssrn.1535543Van Thi Tuong Nguyen, Katelijne A. E. Carbonez, Piet M. F. A. Sercu Remodeling the Working-Kaldor Curve: The Roles of Scarcity, Time to Maturity and Time to Harvest, SSRN Electronic Journal (Jan 2010).https://doi.org/10.2139/ssrn.1588529Scott H. Irwin, Dwight R. Sanders The Financialization of Commodity Futures Markets or: How I Learned to Stop Worrying and Love the Index Funds, SSRN Electronic Journal (Jan 2010).https://doi.org/10.2139/ssrn.1699793Bahattin Buyuksahin, Michel A. Robe Speculators, Commodities and Cross-Market Linkages, SSRN Electronic Journal (Jan 2010).https://doi.org/10.2139/ssrn.1707103Scott H. Irwin, Dwight R. Sanders, Robert P. Merrin Devil or Angel? The Role of Speculation in the Recent Commodity Price Boom (and Bust), Journal of Agricultural and Applied Economics 41, no.22 (Jan 2015): 377–391.https://doi.org/10.1017/S1074070800002856Young-Rae Song, Yong-Jun Yang, Hyung-Sik Oh Interaction between Foreign and Domestic Investors in the Korean Stock and Futures Markets, Asian Economic Journal 23, no.22 (Jun 2009): 249–267.https://doi.org/10.1111/j.1467-8381.2009.02007.xJ. Frank, P. Garcia Time-varying risk premium: further evidence in agricultural futures markets, Applied Economics 41, no.66 (Mar 2009): 715–725.https://doi.org/10.1080/00036840601019026Christof Sigl-Grüb, Dirk Schiereck Returns to Speculators in Commodity Futures Markets: A Comprehensive Revisit, SSRN Electronic Journal (Jan 2008).https://doi.org/10.2139/ssrn.1115802Bahattin Buyuksahin, Michael S. Haigh, Jeffrey H. Harris, James A. Overdahl, Michel A. Robe Fundamentals, Trader Activity and Derivative Pricing, SSRN Electronic Journal (Jan 2008).https://doi.org/10.2139/ssrn.966692REZA MAHANI, DAN BERNHARDT Financial Speculators' Underperformance: Learning, Self-Selection, and Endogenous Liquidity, The Journal of Finance 62, no.33 (May 2007): 1313–1340.https://doi.org/10.1111/j.1540-6261.2007.01237.xHenry L. Bryant, David A. Bessler, Michael S. Haigh Causality in futures markets, Journal of Futures Markets 26, no.1111 (Jan 2006): 1039–1057.https://doi.org/10.1002/fut.20231Scott H. Irwin, Darrel L. Good, João Martines-Filho, Ryan M. Batts The Pricing Performance of Market Advisory Services in Corn and Soybeans over 1995-2004, SSRN Electronic Journal (Jan 2006).https://doi.org/10.2139/ssrn.897280Wei Shi, Scott H. Irwin Optimal Hedging with a Subjective View: An Empirical Bayesian Approach, American Journal of Agricultural Economics 87, no.44 (Nov 2005): 918–930.https://doi.org/10.1111/j.1467-8276.2005.00778.xChao-Hsien Lin, Hsinan Hsu, Chwan-Yi Chiang Trading Patterns and Performance of Trader Types in Taiwan Futures Market, Review of Pacific Basin Financial Markets and Policies 08, no.0202 (Jun 2005): 217–234.https://doi.org/10.1142/S0219091505000403Byung-Sam Yoon, B. Wade Brorsen Can Multiyear Rollover Hedging Increase Mean Returns?, Journal of Agricultural and Applied Economics 37, no.11 (Apr 2015): 65–78.https://doi.org/10.1017/S1074070800007100Scott H. Irwin, Darrel L. Good, João G. Martines-Filho, Lewis A. Hagedorn The Pricing Performance of Market Advisory Services in Corn and Soybeans Over 1995-2003, SSRN Electronic Journal (Jan 2005).https://doi.org/10.2139/ssrn.695224J A Anderson, R W Faff Does Undercapitalisation Help Explain Why Futures Speculators Lose Money?, Studies in Economics and Econometrics 28, no.11 (Feb 2021): 45–56.https://doi.org/10.1080/10800379.2004.12106359Carolyn W. Chang, Jack S. K. Chang Optimum futures hedge in the presence of clustered supply and demand shocks, stochastic basis, and firm's costs of hedging, Journal of Futures Markets 23, no.1212 (Oct 2003): 1209–1237.https://doi.org/10.1002/fut.10106Changyun Wang The behavior and performance of major types of futures traders, Journal of Futures Markets 23, no.11 (Nov 2002): 1–31.https://doi.org/10.1002/fut.10056Joost M.E. Pennings An European Perspective on Research in Agricultural Futures Markets: Past, Present and Future, SSRN Electronic Journal (Jan 2003).https://doi.org/10.2139/ssrn.350201Louis Ederington, Jae Ha Lee Who Trades Futures and How: Evidence from the Heating Oil Futures Market, The Journal of Business 75, no.22 (Apr 2002): 353–373.https://doi.org/10.1086/338706Jeffrey C. Williams Chapter 13 Commodity futures and options, (Jan 2001): 745–816.https://doi.org/10.1016/S1574-0072(01)10021-6Joost M.E. Pennings, Raymond M. Leuthold Hedging Revisited: Resolving Contractual Conflicts, SSRN Electronic Journal (Jan 2000).https://doi.org/10.2139/ssrn.229799Joost M.E. Pennings, Raymond M. Leuthold A Behavioral Approach towards Futures Contract Usage, SSRN Electronic Journal (Jan 2000).https://doi.org/10.2139/ssrn.248716Louis H. Ederington, Jae Ha Lee Who Trades Futures and How: Evidence from the Heating Oil Futures Market, SSRN Electronic Journal (Jan 2000).https://doi.org/10.2139/ssrn.252331Eric C. Chang, J. Michael Pinegar, Barry Schachter Interday variations in volume, variance and participation of large speculators, Journal of Banking & Finance 21, no.66 (Jun 1997): 797–810.https://doi.org/10.1016/S0378-4266(97)00007-1Ahmet E. Kocagil, Kudret Topyan An empirical note on demand for speculation and futures risk premium: A Kalman Filter application, Review of Financial Economics 6, no.11 (Jan 1997): 77–93.https://doi.org/10.1016/S1058-3300(97)90015-XMichael E. Sykuta Futures trading and supply contracting in the oil refining industry, Journal of Corporate Finance 2, no.44 (Jul 1996): 317–334.https://doi.org/10.1016/0929-1199(96)00004-1Charles T. Howard, Louis J. D'Antonio The cost of hedging and the optimal hedge ratio, Journal of Futures Markets 14, no.22 (Apr 1994): 237–258.https://doi.org/10.1002/fut.3990140208Robert W. Kolb Is normal backwardation normal?, Journal of Futures Markets 12, no.11 (Feb 1992): 75–91.https://doi.org/10.1002/fut.3990120108Sung K. Min, Peggy E. Swanson, Anthony F. Herbst Speculative efficiency and foreign currency futures: A focus on selected countries in North America, Western Europe, and the Pacific, North American Review of Economics and Finance 2, no.11 (Mar 1991): 83–94.https://doi.org/10.1016/1042-752X(91)90015-RSteven C. Blank Determining futures “hedging reserve” capital requirements, Journal of Futures Markets 10, no.22 (Apr 1990): 169–177.https://doi.org/10.1002/fut.3990100207Jerome L. Stein, Beom Gyo Hong Price Volatility and Speculation, Journal of Accounting, Auditing & Finance 5, no.22 (Apr 1990): 277–300.https://doi.org/10.1177/0148558X9000500211Scott Sumner USLNG FUTURES INSTRUMENT PRICES TO TARGET NOMINAL INCOME, Bulletin of Economic Research 41, no.22 (Apr 1989): 157–162.https://doi.org/10.1111/j.1467-8586.1989.tb00287.xAdil Gürsel Karaçor, Turan Erman Erkan On the Comparison of Quantitative Predictabilities of Different Financial Instruments, (): 282–298.https://doi.org/10.4018/978-1-5225-0075-9.ch014