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Risk premiums and predictive ability of BAX futures

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dc.contributor.author Gospodinov N.
dc.contributor.author Jamali I.
dc.contributor.editor
dc.date 2011
dc.date.accessioned 2017-09-07T07:51:23Z
dc.date.available 2017-09-07T07:51:23Z
dc.date.issued 2011
dc.identifier 10.1002/fut.20482
dc.identifier.issn 2707314
dc.identifier.uri http://hdl.handle.net/10938/12121
dc.description.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.
dc.format.extent Pages: (534-561)
dc.language English
dc.publisher HOBOKEN
dc.relation.ispartof Publication Name: Journal of Futures Markets; Publication Year: 2011; Volume: 31; no. 6; Pages: (534-561);
dc.source Scopus
dc.title Risk premiums and predictive ability of BAX futures
dc.type Article
dc.contributor.affiliation Gospodinov, N., Department of Economics, Concordia University, Montreal, QC, Canada, CIREQ, Canada
dc.contributor.affiliation Jamali, I., Department of Finance, Accounting and Managerial Economics, Olayan School of Business, American University of Beirut, Beirut, Lebanon
dc.contributor.authorAddress Jamali, I.; Department of Finance, Accounting and Managerial Economics, Olayan School of Business, American University of Beirut, Beirut 1107 2020, P. O. Box 11-0236, Riad El-Solh Street, Lebanon; email: ij08@aub.edu.lb
dc.contributor.authorCorporate University: American University of Beirut; Faculty: Suliman S. Olayan School of Business; Department: School of Business;
dc.contributor.authorDepartment School of Business
dc.contributor.authorDivision
dc.contributor.authorEmail ij08@aub.edu.lb
dc.contributor.authorFaculty Suliman S. Olayan School of Business
dc.contributor.authorInitials Gospodinov, N
dc.contributor.authorInitials Jamali, I
dc.contributor.authorOrcidID
dc.contributor.authorReprintAddress Jamali, I (reprint author), Amer Univ Beirut, Dept Finance Accounting and Managerial Econ, Olayan Sch Business, POB 11-0236,Riad El Solh St, Beirut 11072020, Lebanon.
dc.contributor.authorResearcherID
dc.contributor.authorUniversity American University of Beirut
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dc.description.citedCount 1
dc.description.citedTotWOSCount 1
dc.description.citedWOSCount 1
dc.format.extentCount 28
dc.identifier.scopusID 79953291013
dc.publisher.address 111 RIVER ST, HOBOKEN 07030-5774, NJ USA
dc.relation.ispartOfISOAbbr J. Futures Mark.
dc.relation.ispartOfIssue 6
dc.relation.ispartofPubTitle Journal of Futures Markets
dc.relation.ispartofPubTitleAbbr J. Futures Mark.
dc.relation.ispartOfVolume 31
dc.source.ID WOS:000289431300002
dc.type.publication Journal
dc.subject.otherKeywordPlus Consistent Covariance-Matrix
dc.subject.otherKeywordPlus Monetary-Policy
dc.subject.otherKeywordPlus Exchange-Rates
dc.subject.otherKeywordPlus Heteroskedasticity
dc.subject.otherKeywordPlus Prices
dc.subject.otherWOS Business, Finance
dc.identifier.doi http://dx.doi.org/10.1002/fut.20482


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