Economic significance of the predictable movements in futures returns

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Show simple item record Miffre, J. en_US 2009-12-21T02:36:36Z 2009-12-21T02:36:36Z 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.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.isbasedon en_US
dc.title Economic significance of the predictable movements in futures returns en_US
dc.parent Economic Notes en_US
dc.journal.volume 31 en_US
dc.journal.number 1 en_US
dc.publocation Oxford, UK en_US
dc.identifier.startpage 135 en_US
dc.identifier.endpage 146 en_US Nursing, Midwifery and Health en_US
utslib.copyright.status Closed Access 2015-04-15 12:17:09.805752+10
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