search query: @indexterm volatility / total: 330
reference: 67 / 330
| Author: | Boudoukh, J. (et al.) |
| Title: | Do asset prices reflect fundamentals? Freshly squeezed evidence from the OJ market |
| Journal: | Journal of Financial Economics
2007 : FEB, VOL. 83:2, p. 397-412 |
| Index terms: | market efficiency futures markets volatility models |
| Freeterms: | nonlinearity |
| Language: | eng |
| Abstract: | The frozen concentrated orange juice (FCOJ) futures market is cited by literature as a prominent example of the failure of prices to reflect fundamentals. By contrary, this study shows that when theory clearly identifies the fundamental, e.g. at temperatures (here as: temps.) close to or below freezing, a close link exists btw. FCOJ prices and that fundamental. A model is used to explain about 50 percent of the return variation on days with freezing temps. |
SCIMA