Rational Expectations and Efficiency in Futures Markets
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abnormal
asset pricing theory
Average Abnormal Returns
Average Daily Abnormal Return
Bayesian Error
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Cumulative Average Abnormal Returns
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derivatives markets
empirical finance research
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Expected Futures Price
financial econometrics
Futures Contracts
futures market price formation
Futures Price
Hedge Ratio
information efficiency
Interest Rate Futures Contract
Interest Rate Futures Market
Intertemporal CAPM
M3 Announcement
Marginal Risk Premium
Market Adjusted Returns Model
Minimum Risk Hedge Ratios
month
Oats Market
Post-sample Forecast
premium
price
prices
returns
risk
risk management strategies
Semi-strong Form
Semistrong Form
Short Hedgers
Single Unit Root
Spot Assets
Systematic Risk Premium
Tangency Portfolio
Yen Futures
Product details
- ISBN 9781138984523
- Weight: 440g
- Dimensions: 138 x 216mm
- Publication Date: 13 Jul 2016
- Publisher: Taylor & Francis Ltd
- Publication City/Country: GB
- Product Form: Paperback
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Do traders in futures markets make use of all relevant information and is this reflected in prices? This collection of original essays by a team of international economists considers these and other questions central to futures markets.
