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The Seasonality of Risk and Return on Agricultural Futures Positions
Author(s) -
Murphy J. Austin
Publication year - 1987
Publication title -
american journal of agricultural economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.949
H-Index - 111
eISSN - 1467-8276
pISSN - 0002-9092
DOI - 10.2307/1241698
Subject(s) - futures contract , seasonality , speculation , economics , agriculture , financial economics , investment (military) , risk–return spectrum , business , geography , finance , portfolio , mathematics , statistics , political science , archaeology , politics , law
Abstract This study uses spectral analysis to investigate the risk and return seasonality of agricultural futures contracts. The results indicate that neither the expected return nor the contribution of agricultural futures to the risk of diversified investment portfolios vary seasonally. Because numerous authors have hypothesized that seasonality might exist, the findings of this article have important implications for speculators, hedgers, and researchers.