ALBERT

All Library Books, journals and Electronic Records Telegrafenberg

X
feed icon rss

Your email was sent successfully. Check your inbox.

An error occurred while sending the email. Please try again.

Proceed reservation?

Export
Filter
  • 1
    Electronic Resource
    Electronic Resource
    The Conditional Price of Basis Risk: An Investigation Using Foreign Exchange Instruments (2004)
    Oxford, UK and Boston, USA : Blackwell Publishing Ltd
    Journal of business finance & accounting 31 (2004), S. 0 
    Details
    ISSN: 1468-5957
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Abstract:  This paper uses a conditional multifactor model and shows that the basis of foreign currency instruments includes a time-varying risk premium that is related to the conditional risk of the basis and to the conditional prices of systematic risk present in all assets markets. The result therefore reinforces the view, initially put forward by Bailey and Chan (1993), that the basis is priced rationally in an efficient market. The article also shows that the premium for basis risk increases with the maturity of the instruments used for hedging.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0306-686X.2004.00566.x
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 2
    Electronic Resource
    Electronic Resource
    Sources of Systematic Risk in Futures and Spot Markets: A Study of Market Integration (2000)
    Oxford, UK and Boston, USA : Blackwell Publishers Ltd
    Journal of business finance & accounting 27 (2000), S. 0 
    Details
    ISSN: 1468-5957
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: This article explains the implications of asset market integration for the decision making process of market participants and tests the integration between futures and spot markets. Integration is investigated with respect to the hypothesis that the sources of systematic risk in futures and spot markets command identical risk premia. While the futures and the spot markets for currencies and equities are integrated, we present new evidence that the futures and commodity spot markets are segmented. Such results are of primary importance to investors who use asset pricing models to adjust the risk-return trade-off of their portfolio and evaluate portfolio performance.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1468-5957.00340
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 3
    Electronic Resource
    Electronic Resource
    Efficiency in the Pricing of the FTSE 100 Futures Contract (2001)
    Oxford, UK and Boston, USA : Blackwell Publishers Ltd
    European financial management 7 (2001), S. 0 
    Details
    ISSN: 1468-036X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: This paper studies the pricing efficiency in the FTSE 100 futures contract by linking the predictable movements in futures returns to the time-varying risk and risk premia associated with prespecified factors. The results indicate that the predictability of the FTSE 100 futures returns is consistent with a conditional multifactor model with time-varying moments. The dynamics of the factor risk premia, combined with the variation in the betas, capture most of the predictable variance of returns, leaving little variation to be explained in terms of market inefficiency. Hence the predictive power of the instruments does not justify a rejection of market efficiency.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1468-036X.00142
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
Close ⊗
This website uses cookies and the analysis tool Matomo. More information can be found here...