Time Varying Risk Premia in Futures Markets

IMF Working Papers, December 1, 1990

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Time Varying Risk Premia in Futures Markets

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Bibliographic details

• Authors: Graciela Laura Kaminsky, Manmohan S. Kumar
• Published: December 1, 1990
• Series: IMF Working Papers
• DOI: https://doi.org/10.5089/9781451941968.001

Authors and Publication

• By Graciela Laura Kaminsky, Manmohan S. Kumar
• December 1, 1990
• IMF Working Papers, Working Paper No. 1990/116
• Issue: 116
• Volume: 1990
• Pages: 32
• DOI: https://doi.org/10.5089/9781451941968.001
• Stock No: WPIEA1161990
• ISBN: 9781451941968
• ISSN: 1018-5941

Research Question and Methods

• Undertakes an econometric investigation into the presence of risk premium in commodity futures markets.
• Statistical tests are derived from a formal model of asset pricing.
• Tests are applied to futures prices in a variety of commodity markets.

Key Findings

• Results suggest that for several commodities there is evidence of a time varying risk premium.
• Evidence is particularly notable in futures contracts maturing six months ahead.

Implications and Conclusions

• Findings have implications for the efficiency of the futures markets.
• Findings affect the costs of using these markets for hedging.

Subjects and Keywords

• Subjects: Agricultural commodities, Commodities, Financial institutions, Financial markets, Futures, Futures markets, National accounts, Return on investment
• Keywords: Agricultural commodities, commodity risk, corn futures, excess return, expected return, Futures, Futures markets, futures risk premium, null hypothesis, portfolio asset, Return on investment, risk premia, risk premium hypothesis, WP

IMF Working Paper: "Time Varying Risk Premia in Futures Markets" by Graciela Laura Kaminsky and Manmohan S. Kumar (December 1, 1990).