## Introduction any studies of futures market efficiency have used one of two basic methods M to examine market efficiency. The first method, widely used to examine the efficiency of commodity futures, is to regress the actual realized delivery-day spot rate against an earlier observed futures pri
“Marking-to-Market” and Treasury-Bill Futures Prices: Some Empirical Evidence
✍ Scribed by Seungmook Choi; Mel Jameson
- Book ID
- 109178151
- Publisher
- John Wiley and Sons
- Year
- 2000
- Tongue
- English
- Weight
- 667 KB
- Volume
- 35
- Category
- Article
- ISSN
- 0732-8516
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
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
ike many other futures contracts, the Treasury Bond (T-Bond) futures contract L allows the holder of a short position to satisfy the contract by delivering one of the variety of T-Bonds on one of a number of delivery dates. Accordingly, the traditional approach to pricing such contracts has concentr
However, several previous studies have focused on market imperfections (transactions costs, taxes) or market inefficiency 10 explain the differences between futures and forward prices. See Capozza and Cornell (1979), B n g and Rasche (1978), Burger, Lang, and Rasche (1977), and Kane (1980) for marke