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| Author: | Siddique, A. R. |
| Title: | Common asset pricing factors in volatilities and returns in futures markets |
| Journal: | Journal of Banking and Finance
2003 : DEC, VOL. 27:12, p. 2347-2368 |
| Index terms: | Capital asset pricing Asset valuation Return on investment Volatility Futures markets |
| Language: | eng |
| Abstract: | Factor-based asset pricing models have been used to explain the common predictable variation in excess asset returns. This paper combines means with volatilities of returns in several futures markets to explain their common predictable variation. Using a latent variables methodology, tests do not reject a single factor model with a common time-varying factor loading. |
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