Samuelson hypothesis, arbitrage activity, and futures term premiums
Author:
Affiliation:
1. Wallace D. Malone Jr. Endowed Chair of Financial ManagementCulverhouse College of Business, The University of Alabama Tuscaloosa Alabama
2. Department of FinanceCollege of Business and Innovation, The University of Toledo Toledo Ohio
Publisher
Wiley
Subject
Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22128
Reference32 articles.
1. Adjemian M. Garcia P. Irwin S. H. &Smith A.(2013). Non‐convergence in domestic commodity futures markets: Causes consequences and remedies. USDA‐ERS Economic Information Bulletin Number 115.https://doi.org/10.2139/ssrn.2323646
2. Some determinants of the volatility of futures prices
3. The Time Pattern of Hedging and the Volatility of Futures Prices
4. MATURITY AND REFUNDING EFFECTS ON TREASURY-BOND FUTURES PRICE VARIANCE
5. Is There a Term Structure of Futures Volatilities? Reevaluating the Samuelson Hypothesis
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