"This book documents a curated selection of papers on the impact of index investment on commodity futures prices. The 10 papers follow the evolving speculation debate with new author forewords highlighting the contribution and impact. Essential reading for scholars and researchers interested in...

This article investigates the pricing of volatility risk in agricultural commodity markets. We show theoretically that the cost of bearing volatility risk can be measured using returns to delta-neutral straddles. Using a sample of options for five commodities (corn, soybeans, Chicago wheat, live...

The statistical forecasting efficiency of new crop corn and soybean futures is the topic of frequent academic inquiry. However, few studies address the usefulness of these forecasts to economic agents? decision making. Each year Central Illinois producers are faced with the decision to plant...

The traditional necessary condition for futures market inefficiency is the existence of alternative forecasting methods that produce mean squared forecast errors smaller than the futures market. Here, a more exacting requirement for futures market efficiency is proposed - forecast encompassing....