Evidence of Risk Premiums in Foreign Currency Futures Markets
AbstractWeekly data for foreign currency futures prices are examined for evidence of risk premiums. Covariance risks are measured with respect to the excess returns from benchmark portfolios for consumption and wealth. When the parameters representing the prices of the covariance risks are held constant, no risk premiums are detected. However, when these prices are allowed to vary with the conditional expected returns and variances of the benchmark portfolios, possibly reflecting changing investment opportunities, strong evidence of risk premiums is obtained. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Society for Financial Studies in its journal Review of Financial Studies.
Volume (Year): 5 (1992)
Issue (Month): 1 ()
Contact details of provider:
Postal: Oxford University Press, Journals Department, 2001 Evans Road, Cary, NC 27513 USA.
Web page: http://www.rfs.oupjournals.org/
More information through EDIRC
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Gagnon, Louis & Lypny, Gregory J. & McCurdy, Thomas H., 1998. "Hedging foreign currency portfolios," Journal of Empirical Finance, Elsevier, vol. 5(3), pages 197-220, September.
- Tai, Chu-Sheng, 2001. "A multivariate GARCH in mean approach to testing uncovered interest parity: evidence from Asia-Pacific foreign exchange markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(4), pages 441-460.
- John Barkoulas & Christopher F. Baum, 1996. "Time-Varying Risk Premia in the Foreign Currency Futures Basis," Boston College Working Papers in Economics 281., Boston College Department of Economics.
- Bakshi, Gurdip & Carr, Peter & Wu, Liuren, 2008. "Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies," Journal of Financial Economics, Elsevier, vol. 87(1), pages 132-156, January.
- Ferson, Wayne E. & Harvey, Campbell R., 1994.
"Sources of risk and expected returns in global equity markets,"
Journal of Banking & Finance,
Elsevier, vol. 18(4), pages 775-803, September.
- Wayne E. Ferson & Campbell R. Harvey, 1994. "Sources of Risk and Expected Returns in Global Equity Markets," NBER Working Papers 4622, National Bureau of Economic Research, Inc.
- Floros, Christos & Kizys, Renatas & Pierdzioch, Christian, 2013. "Financial crises, the decoupling–recoupling hypothesis, and the risk premium on the Greek stock index futures market," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 166-173.
- Wang, Changyun, 2004. "Futures trading activity and predictable foreign exchange market movements," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1023-1041, May.
- Francis, Bill B. & Hasan, Iftekhar & Hunter, Delroy M., 2008. "Can hedging tell the full story? Reconciling differences in United States aggregate- and industry-level exchange rate risk premium," Journal of Financial Economics, Elsevier, vol. 90(2), pages 169-196, November.
- Bong-Chan, Kho, 1996. "Time-varying risk premia, volatility, and technical trading rule profits: Evidence from foreign currency futures markets," Journal of Financial Economics, Elsevier, vol. 41(2), pages 249-290, June.
- Wang, Steven Shuye & Jiang, Li, 2004. "Location of trade, ownership restrictions, and market illiquidity: Examining Chinese A- and H-shares," Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1273-1297, June.
- Francis, Bill B & Hasan, Iftekhar & Hunter, Delroy M, 2008. "Does hedging tell the full story? Reconciling differences in US aggregate and industry-level exchange rate risk premia," Research Discussion Papers 14/2008, Bank of Finland.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oxford University Press) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.