The failure of the mortgage-backed futures contract

Article Abstract:

A study was conducted to investigate the failure of the Chicago Board of Trade's mortgage-backed futures contract. The hedging effectiveness of the contract relative to alternative hedging instruments, cash market size, cash price volatility and contract liquidity was analyzed following Black's (1986) paradigm for determining contract variability. Results showed that contract viability is significantly affected by good cross hedges and the absence of liquidity.

Research, Mortgage-backed securities, Mortgage backed securities, Futures

---

Crop year influences and variability of the agricultural futures spreads

Article Abstract:

An analysis of the volatility of agricultural futures spreads reveals that movements of futures price changes are highly correlated. The study also reveals that movements of price spreads are directly related to the theory of storage. Data was gathered using inter-crop and intra-crop data for seven storable, agricultural commodity markets temporal relationships of which were empirically analyzed.

Security brokers and dealers, Securities Brokerage, All Other Miscellaneous Crop Farming, Crop Farms, Stock Brokerage, General farms, primarily crop, Prices and rates, Stockbrokers, Speculation, Price control, Price regulations, Farm produce, Agricultural products, Commerce

---

Asymmetric volatility of basis and the theory of storage

Article Abstract:

A study analyzing the conveniences, risks and cost of storage related to inventory management is presented. The effects of futures and spot prices of inventory are inbuilt in the study. It is observed that the futures prices are less variable than spot prices when the stocks are low.

Inventory Control, Venture Analysis, Methods, Risk assessment, Commodity markets

Similar abstracts:

• Abstracts: The information content of implied volatility in agricultural commodity markets. Survival of commodity trading advisors: 1990-2003
• Abstracts: The antecedents, consequences, and mediating role of organizational ambidexterity. Radical change accidentally: The emergence and amplification of small change
• Abstracts: When does national identity matter? Convergence and divergence in international business ethics. Does national context matter in ethical decision making? An empirical test of integrative social contracts theory
• Abstracts: A model of price discovery and market design: Theory and empirical evidence. Is it time to reduce the minimum tic sizes of the E-mini futures?
• Abstracts: The relationship between governance structure and risk management approaches in Japanese venture capital firms

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.