Rational Expectations and Risk Premia in Forward Markets: Primary Metals at the London Metals Exchange
Journal Article (Journal Article)
This paper tests whether forward prices equal the traders' expectations of the future spot prices at maturity, under two different models of expectations formation: full information rational expectations and incomplete information mechanical forecasting rule. The tests are performed, over the period January 1970 through September 1980, on the forward markets for the primary metals—copper, tin, lead, and zincātraded in the London Metals Exchange. We find evidence consistent with the existence of time varying risk premia. 1982 The American Finance Association
Full Text
Duke Authors
Cited Authors
- HSIEH, DA; KULATILAKA, N
Published Date
- January 1, 1982
Published In
Volume / Issue
- 37 / 5
Start / End Page
- 1199 - 1207
Electronic International Standard Serial Number (EISSN)
- 1540-6261
International Standard Serial Number (ISSN)
- 0022-1082
Digital Object Identifier (DOI)
- 10.1111/j.1540-6261.1982.tb03612.x
Citation Source
- Scopus