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Rational Expectations and Risk Premia in Forward Markets: Primary Metals at the London Metals Exchange

Publication ,  Journal Article
HSIEH, DA; KULATILAKA, N
Published in: The Journal of Finance
January 1, 1982

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 zinc‐traded in the London Metals Exchange. We find evidence consistent with the existence of time varying risk premia. 1982 The American Finance Association

Duke Scholars

Published In

The Journal of Finance

DOI

EISSN

1540-6261

ISSN

0022-1082

Publication Date

January 1, 1982

Volume

37

Issue

5

Start / End Page

1199 / 1207

Related Subject Headings

  • Finance
  • 1502 Banking, Finance and Investment
 

Citation

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HSIEH, D. A., & KULATILAKA, N. (1982). Rational Expectations and Risk Premia in Forward Markets: Primary Metals at the London Metals Exchange. The Journal of Finance, 37(5), 1199–1207. https://doi.org/10.1111/j.1540-6261.1982.tb03612.x
HSIEH, D. A., and N. KULATILAKA. “Rational Expectations and Risk Premia in Forward Markets: Primary Metals at the London Metals Exchange.” The Journal of Finance 37, no. 5 (January 1, 1982): 1199–1207. https://doi.org/10.1111/j.1540-6261.1982.tb03612.x.
HSIEH DA, KULATILAKA N. Rational Expectations and Risk Premia in Forward Markets: Primary Metals at the London Metals Exchange. The Journal of Finance. 1982 Jan 1;37(5):1199–207.
HSIEH, D. A., and N. KULATILAKA. “Rational Expectations and Risk Premia in Forward Markets: Primary Metals at the London Metals Exchange.” The Journal of Finance, vol. 37, no. 5, Jan. 1982, pp. 1199–207. Scopus, doi:10.1111/j.1540-6261.1982.tb03612.x.
HSIEH DA, KULATILAKA N. Rational Expectations and Risk Premia in Forward Markets: Primary Metals at the London Metals Exchange. The Journal of Finance. 1982 Jan 1;37(5):1199–1207.
Journal cover image

Published In

The Journal of Finance

DOI

EISSN

1540-6261

ISSN

0022-1082

Publication Date

January 1, 1982

Volume

37

Issue

5

Start / End Page

1199 / 1207

Related Subject Headings

  • Finance
  • 1502 Banking, Finance and Investment