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Analyzing specification errors in models for futures risk premia with hedging pressure

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  • Roon, F.A. de
  • Nijman, T.E.
  • Veld, C.H.

    (Tilburg University, Center for Economic Research)

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Bibliographic Info

Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 1997-102.

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Date of creation: 1997
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Handle: RePEc:dgr:kubcen:1997102

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Web page: http://center.uvt.nl

Related research

Keywords: capital asset pricing; risk premium; hedging; futures markets;

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References

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  1. Lars Peter Hansen & Ravi Jagannathan, 1994. "Assessing specification errors in stochastic discount factor models," Staff Report 167, Federal Reserve Bank of Minneapolis.
  2. Carter, Colin A. & Rausser, Gordon C. & Schmitz, Andrew, 1982. "Efficient asset portfolios and the theory of normal backwardation," CUDARE Working Paper Series 133R, University of California at Berkeley, Department of Agricultural and Resource Economics and Policy.
  3. Anderson, Ronald W & Danthine, Jean-Pierre, 1981. "Cross Hedging," Journal of Political Economy, University of Chicago Press, vol. 89(6), pages 1182-96, December.
  4. Huberman, Gur & Kandel, Shmuel & Stambaugh, Robert F, 1987. " Mimicking Portfolios and Exact Arbitrage Pricing," Journal of Finance, American Finance Association, vol. 42(1), pages 1-9, March.
  5. Lars Peter Hansen & John Heaton & Erzo Luttmer, 1993. "Econometric Evaluation of Asset Pricing Models," NBER Technical Working Papers 0145, National Bureau of Economic Research, Inc.
  6. Nijman, T.E. & Roon, F.A. de & Werker, B.J.M., 1996. "Testing for Spanning with Futrures Contracts and Nontraded Assets: A General Approach," Discussion Paper 1996-83, Tilburg University, Center for Economic Research.
  7. repec:wop:humbsf:1996-63 is not listed on IDEAS
  8. Bessembinder, Hendrik, 1992. "Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets," Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 637-67.
  9. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
  10. Chang, Eric C, 1985. " Returns to Speculators and the Theory of Normal Backwardation," Journal of Finance, American Finance Association, vol. 40(1), pages 193-208, March.
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