The Information Content of Interest Rate Futures and Time-Varying Risk Premia PDF Download
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Author: Sotiris K. Staikouras
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
The objective of the present study is to examine the price discovery hypothesis in the short sterling futures market. The analytical framework employed, to examine the interaction between spot and futures rates, is based on a VAR cointegration model. The current research takes into account the necessary conditions, when testing the unbiasedness of the futures market, as well as the issues of risk neutrality and the rational use of all available and relevant information. The paper finds that the price discovery hypothesis holds for up to seven weeks prior to maturity of the futures contract. Furthermore, an examination of the sample period over which efficiency does not hold, provides evidence for the presence of time-varying risk premia. The findings also suggest that the premium and the expected spot change volatility are statistically significant, with the former being slightly lower than the latter.
Author: Sotiris K. Staikouras
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
The objective of the present study is to examine the price discovery hypothesis in the short sterling futures market. The analytical framework employed, to examine the interaction between spot and futures rates, is based on a VAR cointegration model. The current research takes into account the necessary conditions, when testing the unbiasedness of the futures market, as well as the issues of risk neutrality and the rational use of all available and relevant information. The paper finds that the price discovery hypothesis holds for up to seven weeks prior to maturity of the futures contract. Furthermore, an examination of the sample period over which efficiency does not hold, provides evidence for the presence of time-varying risk premia. The findings also suggest that the premium and the expected spot change volatility are statistically significant, with the former being slightly lower than the latter.
Author: Alan C. Hess
Publisher:
ISBN:
Category : Futures market
Languages : en
Pages : 36
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Book Description
Author: Des McManus
Publisher:
ISBN:
Category : Euro-dollar market
Languages : en
Pages : 60
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Book Description
Examines the evolution of market sentiment over the possible future values of eurodollar rates.
Author: Graciela Laura Kaminsky
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 40
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Book Description
This paper undertakes an econometric investigation into the presence of risk premium in commodity futures markets. The statistical tests are derived from a formal model of asset pricing and are applied to futures prices in a variety of commodity markets. The results suggest that for several commodities there is evidence of a time varying risk premium, particularly in futures contracts maturing six months ahead. The implications of the study for the efficiency of the futures markets and the costs of using these markets for hedging are also noted.
Author: Graciela Kaminsky
Publisher:
ISBN:
Category :
Languages : en
Pages : 32
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Book Description
This paper undertakes an econometric investigation into the presence of risk premium in commodity futures markets. The statistical tests are derived from a formal model of asset pricing and are applied to futures prices in a variety of commodity markets. The results suggest that for several commodities there is evidence of a time varying risk premium, particularly in futures contracts maturing six months ahead. The implications of the study for the efficiency of the futures markets and the costs of using these markets for hedging are also noted.
Author: James C. Van Horne
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 324
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Book Description
This book explores the behavior of interest rates as they relate to changing market conditions, and examines how risk can be managed. It successfully bridges the gap between interest-rate theory and its application to fixed-income security portfolio management.Coverage includes the function of financial markets, the flow-of-funds system, foundations for interest rates, inflation and returns, derivative securities, the influence of taxes, and the social l allocation of capital.For those in the financial community, in business, and in government, who are concerned with investing in or issuing fixed-income securities.
Author:
Publisher: Lulu.com
ISBN: 9291316695
Category : Bank capital
Languages : en
Pages : 294
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Book Description
Author: David F. DeRosa
Publisher: CFA Institute Research Foundation
ISBN: 1952927110
Category : Business & Economics
Languages : en
Pages : 206
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Book Description
The presence of speculative bubbles in capital markets (an important area of interest in financial history) is widely accepted across many circles. Talk of them is pervasive in the media and especially in the popular financial press. Bubbles are thought to be found primarily in the stock market, which is our main interest, although bubbles are said to occur in other markets. Bubbles go hand in hand with the notion that markets can be irrational. The academic community has a great interest in bubbles, and it has produced scholarly literature that is voluminous. For some economists, doing bubble research is like joining the vanguard of a Kuhnian paradigm shift in economic thinking. Not so fast. If bubbles did exist, they would pose a serious challenge to neoclassical finance. Bubbles would contradict the ideas that markets are rational or work in an informationally efficient manner. That’s what makes the topic of bubbles interesting. This book reviews and evaluates the academic literature as well as some popular investment books on the possible existence of speculative bubbles in the stock market. The main question is whether there is convincing empirical evidence that bubbles exist. A second question is whether the theoretical concepts that have been advanced for bubbles make them plausible. The reader will discover that I am skeptical that bubbles actually exist. But I do not think I or anyone else will ever be able to conclusively prove that there has never been a bubble. From studying the literature and from reading history, I find that many famous purported bubbles reflect inaccurate history or mistakes in analysis or simply cannot be shown to have existed. In other instances, bubbles might have existed. But in each of those cases, there are credible rational explanations. And good evidence exists for the idea that even if bubbles do exist, they are not of great importance to understanding the stock market.
Author: B.Philipp Kellerhals
Publisher: Springer Science & Business Media
ISBN: 9783540208532
Category : Business & Economics
Languages : en
Pages : 268
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Book Description
Covers applications to risky assets traded on the markets for funds, fixed-income products and electricity derivatives. Integrates the latest research and includes a new chapter on financial modeling.
Author: Mark Sirower
Publisher: Harvard Business Press
ISBN: 164782043X
Category : Business & Economics
Languages : en
Pages : 238
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Book Description
The new M&A bible. Few actions can change the value of a company—and its competitive future—as quickly and dramatically as an acquisition. Yet most companies fail to create shareholder value from these deals, and in many cases they destroy it. It doesn't have to be this way. In The Synergy Solution, Deloitte's Mark Sirower and Jeff Weirens show acquirers how to develop and execute an M&A strategy—end to end—that not only avoids the pitfalls that so many companies fall into but also creates real, long-term shareholder value. This strategy includes how to: Become a prepared "always on" acquirer Test the investment thesis and DCF valuation of a deal Plan for a successful Announcement Day, and properly communicate synergy promises to investors and other stakeholders Realize those promised synergies through integration planning and post-close execution Manage change and build a new, combined organization Sirower and Weirens provide invaluable background to those considering M&A, laying out the issues they have to consider, how to analyze them, and how to plan and execute the deal effectively. They also show those who have already started the process of M&A how to maximize their chances of success. There's an art and a science to getting mergers and acquisitions right, and this powerful book provides the insights and strategies acquirers need to find success at every stage of an often complex and perilous process.
