IDEAS home Printed from https://ideas.repec.org/a/wly/jfutmk/v20y2000i9p803-821.html
   My bibliography  Save this article

Normal backwardation is normal

Author

Listed:
  • Joëlle Miffre

Abstract

Traditionally, constant expected return asset pricing models are used to assess the presence of a futures risk premium and the validity of the normal backwardation theory. In the light of recent evidence regarding the presence of time variation in expected futures returns, such an approach may lead to incorrect inferences on the applicability of the Keynesian hypothesis. This article therefore allows for variation through time in expected futures returns and offers some strong evidence in favor of the normal backwardation and contango theories. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:803–821, 2000

Suggested Citation

  • Joëlle Miffre, 2000. "Normal backwardation is normal," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 20(9), pages 803-821, October.
    • Handle: RePEc:wly:jfutmk:v:20:y:2000:i:9:p:803-821
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Joëlle Miffre, 2004. "The Conditional Price of Basis Risk: An Investigation Using Foreign Exchange Instruments," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(7‐8), pages 1043-1068, September.
    2. Joelle Miffre, 2008. "Conditional Risk Premia in International Government Bond Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 12(3-4), pages 185-204, September.
    3. Röthig, Andreas, 2008. "The Impact of Backwardation on Hedgers' Demand for Currency Futures Contracts: Theory versus Empirical Evidence," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 35698, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    4. Seungho Baek & Mina Glambosky & Seok Hee Oh & Jeong Lee, 2020. "Machine Learning and Algorithmic Pairs Trading in Futures Markets," Sustainability, MDPI, vol. 12(17), pages 1-24, August.
    5. Röthig, Andreas, 2008. "The impact of backwardation on hedgers' demand for currency futures contracts: theory versus empirical evidence," Darmstadt Discussion Papers in Economics 190, Darmstadt University of Technology, Department of Law and Economics.
    6. Joëlle Miffre, 2004. "The Conditional Price of Basis Risk: An Investigation Using Foreign Exchange Instruments," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(7-8), pages 1043-1068.
    7. Cifuentes, Sebastián & Cortazar, Gonzalo & Ortega, Hector & Schwartz, Eduardo S., 2020. "Expected prices, futures prices and time-varying risk premiums: The case of copper," Resources Policy, Elsevier, vol. 69(C).
    8. Thomas Bollinger & Axel Kind, 2015. "Risk Premiums in the Cross-Section of Commodity Convenience Yields," Working Paper Series of the Department of Economics, University of Konstanz 2015-17, Department of Economics, University of Konstanz.
    9. Andreas Röthig, 2009. "Microeconomic Risk Management and Macroeconomic Stability," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-642-01565-6, October.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:jfutmk:v:20:y:2000:i:9:p:803-821. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.interscience.wiley.com/jpages/0270-7314/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.