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Risk Premiums and Efficiency in the Market for Crude Oil Futures

  • Richard Deaves
  • Itzhak Krinsky
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    The New York Mercantile Exchange's Crude Oil futures contract is investigated for the existence and nature of risk premiums and informational efficiency. During 1983-90, there is some evidence that short-term premiums were positive and covaried with recent volatility. As for efficiency, we find nothing inconsistent with weak-form efficiency, but some apparent violations cf semi-strong efficiency. We argue that, for a number of reasons, such rejections should be interpreted with caution.

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    Article provided by International Association for Energy Economics in its journal The Energy Journal.

    Volume (Year): Volume 13 (1992)
    Issue (Month): Number 2 ()
    Pages: 93-118

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    Handle: RePEc:aen:journl:1992v13-02-a05
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