An empirical evaluation of the extended
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Robert W. Kolb; John Okunev
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Article
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1992
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John Wiley and Sons
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English
β 566 KB
See Shalit and Yitzhaki (1984), p. 1467. \*he return on the futures contract is defined as the percentage change in the futures price. Strictly speaking, however, futures contracts have no return because they require no investment. Identifying the percentage price change on the futures as the future