Economic significance of the predictable movements in futures returns

Miffre, J

Economic significance of the predictable movements in futures returns

Miffre, J

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Publisher:: Blackwell Publishing
Publication Type:: Journal Article
Citation:: Miffre, J. 2004 'Economic significance of the predictable movements in futures returns', Economic Notes, vol. 31, no. 1, pp. 135-146.
Issue Date:: 2004

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Field	Value	Language
dc.contributor.author	Miffre, J	en_US
dc.date.accessioned	2009-12-21T02:36:36Z
dc.date.available	2009-12-21T02:36:36Z
dc.date.issued	2004	en_US
dc.identifier	2002000302	en_US
dc.identifier.citation	Miffre, J. 2004 'Economic significance of the predictable movements in futures returns', Economic Notes, vol. 31, no. 1, pp. 135-146.	en_US
dc.identifier.issn	0391-5026	en_US
dc.identifier.other	C1	en_US
dc.identifier.uri	http://hdl.handle.net/10453/5086
dc.description.abstract	This paper tests whether the variation in expected futures returns reflects rational pricing in an efficient market or weak-form market inefficiency. The issue is investigated by looking at the abnormal performance of a trading rule based on available information. Once one allows for time-varying risk and time-varying risk premia, the investment strategy can be used consistently to generate abnormal returns in seven out of 26 markets. With relatively few exceptions therefore, the predictable movements in futures returns reflect weakform market efficiency. The paper also shows that wrongly assuming constant expected returns may lead to incorrect inferences regarding market efficiency.	en_US
dc.publisher	Blackwell Publishing	en_US
dc.relation.ispartof	Economic Notes	en_US
dc.relation.isbasedon	http://dx.doi.org/10.1111/j.1466-769X.2004.00173.x	en_US
dc.title	Economic significance of the predictable movements in futures returns	en_US
dc.type	Journal article
utslib.citation.volume	31	en_US
utslib.citation.number	1	en_US
utslib.location	Oxford, UK	en_US
utslib.citation.startpage	135	en_US
utslib.citation.endpage	146	en_US
utslib.identifier.org	Nursing, Midwifery and Health	en_US
utslib.copyright.status	closed_access
pubs.declined	1970-01-01T00:00:00.0+1000

Abstract:

This paper tests whether the variation in expected futures returns reflects rational pricing in an efficient market or weak-form market inefficiency. The issue is investigated by looking at the abnormal performance of a trading rule based on available information. Once one allows for time-varying risk and time-varying risk premia, the investment strategy can be used consistently to generate abnormal returns in seven out of 26 markets. With relatively few exceptions therefore, the predictable movements in futures returns reflect weakform market efficiency. The paper also shows that wrongly assuming constant expected returns may lead to incorrect inferences regarding market efficiency.

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http://hdl.handle.net/10453/5086