haku: @author French, K. R. / yhteensä: 21
viite: 14 / 21
| Tekijä: | Fama, E. F. French, K. R. |
| Otsikko: | Commodity futures prices : some evidence on forecast power, premiums, and the theory of storage. |
| Lehti: | Journal of Business
1987 : JAN, VOL. 60:1, p. 55-73 |
| Asiasana: | PRICES COMMODITIES FUTURES MARKETS REGRESSION ANALYSIS STORAGE |
| Kieli: | eng |
| Tiivistelmä: | Two models of commodity futures prices are examined. The theory of shortage explains the difference between contemporaneous futures and spot prices -the basis- in terms of interest changes,warehousing costs,and convenience yields. An evidence of variation in the basis in response to both interest rates and seasonals in convenience yields is found. The second model splits a future price into an expected premium and a forecast of the maturity spot price. An evidence of forecast power for ten of twenty one commodities and time varying expected premiums for five commodities is found. |
SCIMA