Day-of-the-Week Regularities and Their Higher Moments in the Futures Market
- US index futures results in strong gains for Australian macro specialist GTS. // Asia Hedge;10/5/2015, p1
The article reports on positive returns and gains posted by Australia-based GTS Master Fund due to U.S. index futures.
- A Note on Odds in the Cattle Futures Market. Anderson, Seth C.; Jackson, John D.; Steagall, Jeffrey W. // Journal of Economics & Finance;Fall94, Vol. 18 Issue 3, p357
This paper investigates the odds of generating a 100-fold return in the cattle futures market. We employ cattle futures data for the period October 11, 1978, through July 31, 1979, to compute the probability of obtaining such a return. The tests are constructed to give the investor the benefit...
- AN ANALYSIS OF DAILY PATTERNS IN STOCK RETURNS ACROSS INDICES: SPOT VERSUS FUTURES. Maberly, Edwin D.; Spahr, Ronald W.; Herbst, Anthony F. // Quarterly Journal of Business & Economics;Winter89, Vol. 28 Issue 1, p55
This paper presents an empirical examination of daily patterns in stock returns across indices of varying market capitalization. The analysis is extended to the market for stock index futures. The spot results are similar to those reported by Harris  on a close-to-close basis with one major...
- Intra-Week Regularities in Security Returns: Further Australian Evidence. Finn, Frank J.; Lynch, Anthony; Moore, Simon // Australian Journal of Management (University of New South Wales);Dec91, Vol. 16 Issue 2, p129
Provides evidence on intra-week regularities in securities returns in Australian market. Presence of daily seasonals in fixed interest securities; Seasonal in daily variances of returns in futures market; Futures on fixed interest securities.
- Forthcoming Articles. // Review of Financial Studies;Mar2013, Vol. 26 Issue 3, pi3
A list of forthcoming articles is presented, including information on "Book-to-Market Equity, Financial Leverage, and the Cross-Section of Stock Returns," by Iulian Obreja; "Economic Linkages, Relative Scarcity, and Commodity Futures Returns," by Jaime Casassus, Peng Liu, and Ke Tang; and...
- Market timing using derivatives on the Johannesburg Stock Exchange during bear periods. de Chassart, Marc Dumont; Grantham, Wendy; Hill, Simon; Pryce, Mark; Rudden, Ian; Firer, Colin // South African Journal of Business Management;Dec2000, Vol. 31 Issue 4, p149
The objective of the study was to investigate the gains from market timing strategies using derivatives during a period when the return on the market was below that of the risk-free asset (a so-called bear period). It was found that perfect timers appear to do better under bullish rather than...
- Stocks vs. futures. Otte, John // Farm Futures;Oct2013, Vol. 10 Issue 9, p10
The article offers suggestion on how to make money by trading stocks or futures by speculators which include focusing on price discovery and price risk management, selling stock to get shareholder equity and try to make money during price hikes.
- Getting an edge with reduced margin spreads. Ross, Joe // Futures: News, Analysis & Strategies for Futures, Options & Deri;Fall2003 Special Issue, Vol. 32, p28
Focuses on the reduced margin spreads of trading in the U.S. Disadvantages of spread trading; Concept of return on market; Leverage of spread trading; Trend of spreads more often than outright futures.
- 2004 public funds returns. // Futures: News, Analysis & Strategies for Futures, Options & Deri;Aug2004, Vol. 33 Issue 10, p62
Presents a chart of 2004 public funds returns in the United States, compiled as of August 2004. Alternative Asset Growth LP; IDS Managed Futures II; Salomon Smith Barney Global Diversified; Smith Barney Global Markets Futures Fund; ATA Research/ProFutures.