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
Futures-forward price differentials in the T-bill markets: An application of the arbitrage pricing theory
โ Scribed by Carolyn W. Chang; Jack S.K. Chang; Jean C.H. Loo
- Book ID
- 116172833
- Publisher
- Elsevier Science
- Year
- 1994
- Tongue
- English
- Weight
- 618 KB
- Volume
- 5
- Category
- Article
- ISSN
- 1044-0283
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
## Abstract This paper examines pricing and arbitrage opportunities in the New Zealand bank bill futures market using an intraday data set. The key findings are: (a) the implied forward rate model yields biased estimates of the bill futures yield but the bias is small and not economically significa
Shantaram P. Hegde Ben Branch imultaneous spot and futures trading in T-bills permits investors to construct S a combination of spot and futures positions that is a close substitute for a corresponding pure spot bill position. If the net returns on the spot-futures combination exceed the comparable