An Investigation into the Equilibrium Structure of the Commodity Futures Market Anomaly

J Austin Murphy and Jimmy E Hilliard

The Financial Review, 1989, vol. 24, issue 1, 1-18

Abstract: Commodity futures contracts are shown to be characterized by indivisibility problems and tax disadvantages. An empirical test demonstrates that long futures investors were compensated for these drawbacks prior to the mid-1970s. However, compensation for the investment disadvantages of commodity futures ceased to exist after 1974. The year 1974 is significant because barriers to institutional investment in the futures market were removed in that year. Copyright 1989 by MIT Press.

Date: 1989
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