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Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure

โœ Scribed by BESSEMBINDER, HENDRIK; COUGHENOUR, JAY F.; SEGUIN, PAUL J.; SMOLLER, MARGARET MONROE

Book ID
121010777
Publisher
John Wiley and Sons
Year
1995
Tongue
English
Weight
963 KB
Volume
50
Category
Article
ISSN
0022-1082

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Mean Reversion and the Comovement of Equ
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## Abstract The comovements of spot and futures prices are characterized by six binary variables, including the term structure curvature of futures prices. These variables are used to uniquely identify 48 possible comovement patterns. Among them, 24 cases are associated with __mean reversion,__ whi