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

Author

Listed:
  • de Roon, F.A.

    (Tilburg University, Center For Economic Research)

  • Nijman, T.E.

    (Tilburg University, Center For Economic Research)

  • Veld, C.H.

    (Tilburg University, Center For Economic Research)

Abstract

No abstract is available for this item.

Suggested Citation

  • de Roon, F.A. & Nijman, T.E. & Veld, C.H., 1997. "Analyzing specification errors in models for futures risk premia with hedging pressure," Discussion Paper 1997-102, Tilburg University, Center for Economic Research.
  • Handle: RePEc:tiu:tiucen:2c531bb0-c2ca-457b-aa10-d2f353053afb
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    References listed on IDEAS

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    1. Hirshleifer, David, 1989. "Determinants of Hedging and Risk Premia in Commodity Futures Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(03), pages 313-331, September.
    2. 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.
    3. Hansen, Lars Peter & Heaton, John & Luttmer, Erzo G J, 1995. "Econometric Evaluation of Asset Pricing Models," Review of Financial Studies, Society for Financial Studies, vol. 8(2), pages 237-274.
    4. Fama, Eugene F., 1996. "Multifactor Portfolio Efficiency and Multifactor Asset Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(04), pages 441-465, December.
    5. Carter, Colin A & Rausser, Gordon C & Schmitz, Andrew, 1983. "Efficient Asset Portfolios and the Theory of Normal Backwardation," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 319-331, April.
    6. Hirshleifer, David, 1988. "Risk, Futures Pricing, and the Organization of Production in Commodity Markets," Journal of Political Economy, University of Chicago Press, vol. 96(6), pages 1206-1220, December.
    7. Anderson, Ronald W & Danthine, Jean-Pierre, 1981. "Cross Hedging," Journal of Political Economy, University of Chicago Press, vol. 89(6), pages 1182-1196, December.
    8. Hansen, Lars Peter & Jagannathan, Ravi, 1997. " Assessing Specification Errors in Stochastic Discount Factor Models," Journal of Finance, American Finance Association, vol. 52(2), pages 557-590, June.
    9. F. A. d. ROON & T. E. NIJMAN & B. J. WERKER, 1996. "Testing for Spanning with Futures Contracts and Nontraded Assets: A general Approach," SFB 373 Discussion Papers 1996,63, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    10. Jagannathan, Ravi, 1985. " An Investigation of Commodity Futures Prices Using the Consumption-based Intertemporal Capital Asset Pricing Model," Journal of Finance, American Finance Association, vol. 40(1), pages 175-191, March.
    11. de Roon, F.A. & Nijman, T.E. & Werker, B.J.M., 1998. "Testing for mean-variance spanning with short sales constraints and transaction costs : The case of emerging markets," Discussion Paper 1998-07, Tilburg University, Center for Economic Research.
    12. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
    13. 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.
    14. 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 637-667.
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    More about this item

    Keywords

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

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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