RATIONAL-EXPECTATIONS, RISK AND EFFICIENCY IN ENERGY FUTURES MARKETS

被引：20
|
作者：
SERLETIS, A
机构：
[1] Department of Economics, The University of Calgary, Calgary
来源：
ENERGY ECONOMICS | 1991年 / 13卷 / 02期
关键词：
EFFICIENCY; ENERGY; FUTURES;
D O I：
10.1016/0140-9883(91)90042-X
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Conditional on the hypothesis that energy futures markets are efficient or rational, this paper uses Fama's [3] regression approach to measure the information in energy futures prices about future spot prices and time varying premiums. The paper finds that the premium and expected future spot price components of energy futures prices are negatively correlated and that most of the variation in futures prices is variation in expected premiums. © 1991.
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页码：111 / 115
页数：5
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