Nikolaos T. Milonas\* he hypothesis that price variability increases as time to maturity nears-the T so-called "maturity effect"-has important implications on the behavior of futures prices. This article derives the theoretical basis for this effect in line with Samuelson's (1965) arguments, develop
Is the January effect still alive in the futures markets?
β Scribed by Juan Rendon; William T. Ziemba
- Book ID
- 107341592
- Publisher
- Springer US
- Year
- 2007
- Tongue
- English
- Weight
- 830 KB
- Volume
- 21
- Category
- Article
- ISSN
- 1555-4961
No coin nor oath required. For personal study only.
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