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| Tekijä: | Boudoukh, J. (et al.) |
| Otsikko: | Do asset prices reflect fundamentals? Freshly squeezed evidence from the OJ market |
| Lehti: | Journal of Financial Economics
2007 : FEB, VOL. 83:2, p. 397-412 |
| Asiasana: | market efficiency futures markets volatility models |
| Vapaa asiasana: | nonlinearity |
| Kieli: | eng |
| Tiivistelmä: | 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. |
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