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K. French (1986)
Detecting Spot Price Forecasts in Futures PricesThe Journal of Business, 59
M. Brennan (1976)
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Working Working (1949)
The theory of the price of storageAmerican Economic Review, 12
W. Bailey, Kalok Chan (1993)
Macroeconomic Influences and the Variability of the Commodity Futures BasisJournal of Finance, 48
E. Fama, K. French (1988)
Business Cycles and the Behavior of Metals PricesJournal of Finance, 43
J. Poterba, L. Summers (1987)
Mean Reversion in Stock Prices: Evidence and ImplicationsNBER Working Paper Series
E. Fama, K. French (1987)
Commodity futures prices: some evidence on forecast power
Poterba Poterba, Summers Summers (1988)
Mean reversion in stock prices: evidence and implicationsJournal of Financial Economics, 22
D. Laughton, H. Jacoby (1993)
Reversion, Timing Options, and Long-Term Decision-MakingFinancial Management, 22
Whitney Newey, K. West (1987)
Hypothesis Testing with Efficient Method of Moments EstimationInternational Economic Review, 28
E. Fama, K. French (1988)
Permanent and Temporary Components of Stock PricesJournal of Political Economy, 96
ABSTRACT We use the term structure of futures prices to test whether investors anticipate mean reversion in spot asset prices. The empirical results indicate mean reversion in each market we examine. For agricultural commodities and crude oil the magnitude of the estimated mean reversion is large; for example, point estimates indicate that 44 percent of a typical spot oil price shock is expected to be reversed over the subsequent eight months. For metals, the degree of mean reversion is substantially less, but still statistically significant. We detect only weak evidence of mean reversion in financial asset prices.
The Journal of Finance – Wiley
Published: Mar 1, 1995
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