haku: @author Serletis, A. / yhteensä: 8
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| Tekijä: | Serletis, A. |
| Otsikko: | Rational expectations, risk and efficiency in energy futures markets. |
| Lehti: | Energy Economics
1991 : APR, VOL. 13:2, p. 111-115 |
| Asiasana: | ENERGY FUTURES MARKETS SHARE PRICES |
| Kieli: | eng |
| Tiivistelmä: | Fama's interesting variance decomposition approach is used to test a model for joint measurement of variation in the premium and expected future spot price components of energy prices, conditional on the hypotheses that energy future markets are efficient or rational. It is found that the premium and expected future spot price components of energy futures prices are negatively correlated and the most of the variaion in futures prices is variation in expected premiums. Variation in the premium worsens the performance of the futures price as a predictor of future spot prices. |
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