An application of arbitrage pricing theo
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Michael C. Ehrhardt; James V. Jordan; Ralph A. Walkling
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Article
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1987
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John Wiley and Sons
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English
โ 780 KB
eynes (1923) and Hicks (1939), hypothesized that futures prices are downward biased estimates of expected spot prices. Any empirical study that employs returns on futures contracts is actually a joint test of both the Keynes-Hicks hypothesis and of the assumed model of returns. Models based on the C