Using six commodities and four foreign currencies a comparison is made of the value of futures and forward contracts. Results indicate that the detected differences are attributable to the continual resettlement procedure embedded in futures contracts.
resettlement, value, bonds
The files in this collection are protected by copyright law. No commercial reproduction or distribution of these files is permitted without the written permission of Southern Methodist University, Cox Business School. These files may be freely used for educational purposes, provided they are not altered in any way, and Southern Methodist University is cited. For more information, contact firstname.lastname@example.org.
Park, Hun Y. and Chen, Andrew H., "Differences Between Futures and Forward Prices: An Empirical Investigation of the Marking-to-market Effects" (1983). Working Papers. 46.