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Does knowledge of the cost of carry model improve commodity futures price forecasting ability? A case study using the London Metal Exchange lead contract

Heaney, Richard

Description

The use of futures prices to predict commodity cash prices is important both to practitioners and researchers yet the literature provides conflicting results on the ability of futures prices to predict cash prices. Brenner and Kroner [Journal of Financial and Quantitative Analysis 30 (1995) 23] argue that if the cost of carry model applies to commodity futures pricing then current prices may not accurately predict subsequent cash prices. Inventory, cash price return variance, cash price return...[Show more]

CollectionsANU Research Publications
Date published: 2002
Type: Journal article
URI: http://hdl.handle.net/1885/85734
Source: International Journal of Forecasting
DOI: 10.1016/S0169-2070(01)00106-6

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