The Search for a Risk Premium

  • Roger W. Gray


In very recent years the search for a risk premium in the price statistics of organized commodity-futures markets has been renewed. In the statistics produced on futures markets some outstanding economists have recognized unsurpassed possibilities for empirical analysis of prices. Valuable special compilations and new survey data have been added to the already excellent regularly published information, in pursuit of estimates of the risk premium, or in more general investigations which have included estimates of the risk premium. The substantive and methodological contributions that this search has yielded mark it a clear success, but this is not because ores laden with risk premium have been discovered — indeed, the tailings from these diggings may prove richer than the findings, and in unsuspected ores.


Risk Premium Future Market Future Price Future Contract Postwar Period 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.


  1. 1.
    J. M. Keynes, A Treatise on Money vol. II, London, 1930, pp. 142–47.Google Scholar
  2. 2.
    Holbrook Working, ‘Hedging Reconsidered,’ Journal of Farm Economics, vol. XXXV, 1953, p. 561.Google Scholar
  3. 3.
    L. G. Telser, ‘Futures Trading and the Storage of Cotton and Wheat,’ Journal of Political Economy, vol. LXVI, 1958, pp. 233–55.CrossRefGoogle Scholar
  4. 5.
    H. S. Houthakker, ‘Can Speculators Forecast Prices?’ Review of Economics and Statistics, vol. XXXIX, 1957, pp. 143–52; and his ‘The Scope and Limits of Futures Trading,’ pp. 133–59 in Moses Abramovitz et al., The Allocation of Economic Resources, Stanford, Calif., 1959.CrossRefGoogle Scholar
  5. 9.
    M. J. Brennan, ‘Supply of Storage,’ American Economic Review, vol. XLVIII, 1958, pp. 50–72.Google Scholar
  6. 16.
    E. A. Beveridge, ‘Using the Coffee Futures Market,’ Coffee and Tea Industries, November 1952, pp. 1–8.Google Scholar
  7. 17.
    B. S. Yamey, ‘Cotton Futures Trading in Liverpool,’ Three Banks Review, March 1959, pp. 21–38.Google Scholar

Copyright information

© Palgrave Macmillan, a division of Macmillan Publishers Limited 1976

Authors and Affiliations

  • Roger W. Gray

There are no affiliations available

Personalised recommendations