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Normal backwardation is normal

✍ Scribed by Joëlle Miffre

Book ID
101322845
Publisher
John Wiley and Sons
Year
2000
Tongue
English
Weight
115 KB
Volume
20
Category
Article
ISSN
0270-7314

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✦ Synopsis

Backwardation is Normal

JOE ¨LLE MIFFRE

Traditionally, constant expected return asset pricing models are used to assess the presence of a futures risk premium and the validity of the normal backwardation theory. In the light of recent evidence regarding the presence of time variation in expected futures returns, such an approach may lead to incorrect inferences on the applicability of the Keynesian hypothesis. This article therefore allows for variation through time in expected futures returns and offers some strong evidence in favor of the normal backwardation and contango theories.

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