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An Investigation into the Equilibrium Structure of the Commodity Futures Market Anomaly
Author(s) -
Murphy J. Austin,
Hilliard Jimmy E.
Publication year - 1989
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/j.1540-6288.1989.tb00327.x
Subject(s) - futures contract , commodity , investment (military) , economics , futures market , compensation (psychology) , financial economics , commodity pool , forward market , contango , commodity market , anomaly (physics) , monetary economics , market economy , finance , market liquidity , psychology , physics , passive management , fund of funds , politics , political science , psychoanalysis , law , condensed matter physics
Commodity 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 year.