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
APA
Chicago
ICMJE
MLA
NLM
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.
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