Do systematic risk premiums persist in eurodollar futures prices?
✍ Scribed by Tim Krehbiel; Lee C. Adkins
- Publisher
- John Wiley and Sons
- Year
- 1996
- Tongue
- English
- Weight
- 755 KB
- Volume
- 16
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
✦ Synopsis
The properties of interest rate futures contract prices have recently received substantial attention from academic researchers because of increased trading opportunities in these contracts and the expanded use of interest rate futures contract prices in the valuation of derivative products. ' The relationship between the contract price prior to the delivery date and the contract price realized on the delivery date is of importance to market participants and for the integrity of the derivative pricing applications. Earlier studies have identified systematic bias in interest rate futures prices but have not explored potential causes for this phenomenon. This study offers an explanation for this systematic bias and tests for the persistence of this bias in interest rate futures prices. This study adds to the previous literature by examining prices from 'See Marshall, J. F., and Whittaker, J.