@article{irwin2025delivery,
	title={Was Allen Paul Right? Liquidation Bias in Commodity Futures Markets},
	author={Irwin, Scott H and Sanders, Dwight R and Smith, Aaron and Yan, Lei},
	url={https://www.dropbox.com/scl/fi/yva87gv7becqtybsm6pfp/Liquidation-Bias_07172025.pdf?rlkey=205vwhxsfobdry0nbxcwtgudm&st=uimr4898&dl=1},
	abstract={This study examines liquidation bias—the systematic rise in nearby commodity futures prices relative to deferred contracts before expiration—using 27 U.S. commodity futures contracts from 1990-2021.  We find spreads increase 0.65% over the final 15 trading days, with strongest effects in grains (0.94\%) and livestock (1.75\%).  The phenomenon persists across market conditions and changes in trading technology, suggesting it is driven by contract design.  Evidence supports delivery options as the primary driver, particularly in markets with seller-only delivery initiation.  These findings highlight important trade-offs in futures contract design and demonstrate how embedded options systematically affect commodity futures pricing, with implications for analyzing hedging effectiveness and market efficiency.},
	keywords={agriculture},
	year={2025}
}

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