Default Premiums in Commodity Markets: Theory and Evidence

Warren Bailey and Edward Ng

Journal of Finance, 1991, vol. 46, issue 3, 1071-93

Abstract: The authors model the effect on nonperformance risk on forward and futures pricing and look for evidence of nonperformance risk in precious metals futures prices from the "Hunt Brothers" episode. Changes in default premiums are measured and related to the sequence of events in the metals markets during this period. Results suggest that ex ante costs of nonperformance can be a significant, priced factor in commodity markets and that the arrival of new information is often associated with changes in these costs. The evidence has implications for both theoretical and empirical research on commodity markets. Copyright 1991 by American Finance Association.

Date: 1991
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://links.jstor.org/sici?sici=0022-1082%2819910 ... O%3B2-K&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:46:y:1991:i:3:p:1071-93

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().