The Seasonality of Risk and Return on Agricultural Futures Positions

J. Austin Murphy

American Journal of Agricultural Economics, 1987, vol. 69, issue 3, 639-646

Abstract: This study uses spectral analysis to investigate the risk and return seasonality of agricultural futures contracts. The results indicate that neither the expected return nor the contribution of agricultural futures to the risk of diversified investment portfolios vary seasonally. Because numerous authors have hypothesized that seasonality might exist, the findings of this article have important implications for speculators, hedgers, and researchers.

Date: 1987
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Persistent link: https://EconPapers.repec.org/RePEc:oup:ajagec:v:69:y:1987:i:3:p:639-646.

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