Risk premia in the futures and forward markets

Article Abstract:

Agricultural and foreign exchange futures markets are used to examine difficulties perceived in the intertemporal Consumption Capital Asset Pricing Model (CCAPM). The study uses the General Method of Moments and an adaptation of Huang's methodology. CCAPM intertemporal modeling for futures and forward risk premia is said to be better than single period modeling, if an index portfolio is identified with the model. Problems encountered with the CCAPM model are said to likely be due to limiting utility assumptions and use of poor consumption data.

Noncommercial research organizations, Evaluation, Capital assets pricing model, Capital asset pricing model

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Extracting market views from the price of options on futures

Article Abstract:

A stochastic model depicting the change in futures price may be utilized to obtain significant information from the price on futures contracts. The model should reflect the overall perception of market participants on the prevailing variations of the futures price. Traders can utilize this market-view model on options for S&P index futures to gather data on the collective perceptions concerning volatility and on the technical aspects of the futures contracts.

Securities and Commodity Exchanges, Commodity Exchanges, Pricing

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A redetermination of hedging strategies using foreign currency futures contracts and forward markets

Article Abstract:

The German mark, Canadian dollar, Swiss franc, Japanese yen and British pound are examined using futures, forward and spot foreign exchange rate information. An exaggeration of optimal hedging ratios from those currencies is noted from least square regression analysis. Autocorrelation in the residuals of the time series were excluded. The use of autoregressive and Box-Jenkins methods resulted in more precise optimal hedge ratio and reduced risk.

Functions related to deposit banking, Methods, Autocorrelation (Statistics), Regression analysis, Autoregression (Statistics), Foreign exchange futures

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