|
|
|
|
| LEADER |
02474nmm a2200613 u 4500 |
| 001 |
EB000924977 |
| 003 |
EBX01000000000000000718573 |
| 005 |
00000000000000.0 |
| 007 |
cr||||||||||||||||||||| |
| 008 |
150128 ||| eng |
| 020 |
|
|
|a 9781451941968
|
| 100 |
1 |
|
|a Kaminsky, Graciela
|
| 245 |
0 |
0 |
|a Time Varying Risk Premia in Futures Markets
|c Graciela Kaminsky, Manmohan Kumar
|
| 260 |
|
|
|a Washington, D.C.
|b International Monetary Fund
|c 1990
|
| 300 |
|
|
|a 32 pages
|
| 651 |
|
4 |
|a United States
|
| 653 |
|
|
|a Institutional Investors
|
| 653 |
|
|
|a Investment
|
| 653 |
|
|
|a Pension Funds
|
| 653 |
|
|
|a Investments: Futures
|
| 653 |
|
|
|a Finance
|
| 653 |
|
|
|a Farm produce
|
| 653 |
|
|
|a Return on investment
|
| 653 |
|
|
|a Financial institutions
|
| 653 |
|
|
|a Financial Instruments
|
| 653 |
|
|
|a General Financial Markets: General (includes Measurement and Data)
|
| 653 |
|
|
|a Intangible Capital
|
| 653 |
|
|
|a Agriculture: General
|
| 653 |
|
|
|a National accounts
|
| 653 |
|
|
|a Investments: Commodities
|
| 653 |
|
|
|a Derivative securities
|
| 653 |
|
|
|a Non-bank Financial Institutions
|
| 653 |
|
|
|a Commodities
|
| 653 |
|
|
|a Financial markets
|
| 653 |
|
|
|a Saving and investment
|
| 653 |
|
|
|a Investments: General
|
| 653 |
|
|
|a Macroeconomics
|
| 653 |
|
|
|a Agricultural commodities
|
| 653 |
|
|
|a Capacity
|
| 653 |
|
|
|a Investment & securities
|
| 653 |
|
|
|a Futures markets
|
| 653 |
|
|
|a Capital
|
| 653 |
|
|
|a Commercial products
|
| 653 |
|
|
|a Futures
|
| 653 |
|
|
|a Finance: General
|
| 653 |
|
|
|a Commodity Markets
|
| 700 |
1 |
|
|a Kumar, Manmohan
|
| 041 |
0 |
7 |
|a eng
|2 ISO 639-2
|
| 989 |
|
|
|b IMF
|a International Monetary Fund
|
| 490 |
0 |
|
|a IMF Working Papers
|
| 028 |
5 |
0 |
|a 10.5089/9781451941968.001
|
| 856 |
4 |
0 |
|u https://elibrary.imf.org/view/journals/001/1990/116/001.1990.issue-116-en.xml?cid=3079-com-dsp-marc
|x Verlag
|3 Volltext
|
| 082 |
0 |
|
|a 330
|
| 520 |
|
|
|a This paper undertakes an econometric investigation into the presence of risk premium in commodity futures markets. The statistical tests are derived from a formal model of asset pricing and are applied to futures prices in a variety of commodity markets. The results suggest that for several commodities there is evidence of a time varying risk premium, particularly in futures contracts maturing six months ahead. The implications of the study for the efficiency of the futures markets and the costs of using these markets for hedging are also noted
|