✦ LIBER ✦

Risk premiums and predictive ability of BAX futures

✍ Scribed by Nikolay Gospodinov; Ibrahim Jamali

Publisher: John Wiley and Sons
Year: 2010
Tongue: English
Weight: 162 KB
Volume: 31
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.20482

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

This study provides an in‐depth analysis of risk premiums in the Canadian Bankers' Acceptances futures (BAX) market. The predictive regressions for excess and holding‐period returns on BAX futures lend empirical support to the presence of time‐varying risk premiums especially at longer horizons. Despite the evidence of time variation in the risk premium, however, the unbiasedness of the basis as a predictor of spot returns in forecast efficiency regressions cannot be rejected. The out‐of‐sample forecasts of spot returns demonstrate the excellent predictive ability of models that exploit the restrictions implied by the unbiasedness hypothesis. Overall, our findings support the presence of a slowly moving risk premium and entail important practical implications for measuring monetary policy expectations and portfolio allocation. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark

📜 SIMILAR VOLUMES

Commodity futures risk premium and unsta

Commodity futures risk premium and unstable systematic risk

✍ Jacky C. So 📂 Article 📅 1987 🏛 John Wiley and Sons 🌐 English ⚖ 838 KB

## Premium and Unstable Systematic Risk\* Jacky C. So his article documents significant nonstationarity of systematic risk for the T wheat, corn and soybean futures contracts traded on the Chicago Board of Trade during the 1953-1976 period. The risk premium, however, remains insignificant statisti

Do futures prices for commodities embody

Do futures prices for commodities embody risk premiums?

✍ Richard Deaves; Itzhak Krinsky 📂 Article 📅 1995 🏛 John Wiley and Sons 🌐 English ⚖ 608 KB

The authors acknowledge the helpful comments of two anonymous referees and the very capable research assistance of Kevin Brewer. 'From here on, the term backwardation is used in place of the more cumbersome normal backwardation. It should be noted that backwardation sometimes refers to the situatio

Risk premiums in financial futures marke

Risk premiums in financial futures markets: The case of treasury bond futures

✍ Mark S. Rzepczynski 📂 Article 📅 1987 🏛 John Wiley and Sons 🌐 English ⚖ 634 KB

More specifically, futures prices may influence storage and inventory decisions and may exact an important influence on production decisions. This is their price discovery function. Futures markets are seen as an efficient collector, processor, and disseminator of information. 'The large number of

Do systematic risk premiums persist in e

Do systematic risk premiums persist in eurodollar futures prices?

✍ Tim Krehbiel; Lee C. Adkins 📂 Article 📅 1996 🏛 John Wiley and Sons 🌐 English ⚖ 755 KB

The properties of interest rate futures contract prices have recently received substantial attention from academic researchers because of increased trading opportunities in these contracts and the expanded use of interest rate futures contract prices in the valuation of derivative products. ' The re

Variance risk premiums and predictive po

Variance risk premiums and predictive power of alternative forward variances in the corn market

✍ Zhiguang Wang; Scott W. Fausti; Bashir A. Qasmi 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 185 KB

## Abstract We propose a fear index for corn using the variance swap rate synthesized from out‐of‐the‐money call and put options as a measure of implied variance. We find negative and time‐varying variance risk premiums (realized variance minus implied variance) in the corn market from 1987 to 2009

Profitable hedging opportunities and ris

Profitable hedging opportunities and risk premiums for producers in live cattle and live hog futures markets

✍ Marvin L. Hayenga; Dennis D. Dipietre; J. Marvin Skadberg; Ted C. Schroeder 📂 Article 📅 1984 🏛 John Wiley and Sons 🌐 English ⚖ 833 KB

L livestock and meat production, processing, and merchandising. There has been controversy, however, regarding the usefulness of the live cattle futures market for producers. Questions have arisen about the impact of futures markets on cash market price behavior, the accuracy of the futures market a