## Time Varying Risk Premia in Futures Markets

_IMF Working Papers, December 1, 1990_

## Source details

**Canonical URL:** [Time Varying Risk Premia in Futures Markets](https://www.imf.org/en/publications/wp/issues/2016/12/30/time-varying-risk-premia-in-futures-markets-3079)

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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

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### 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).*

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_Source: https://www.imf.org/en/publications/wp/issues/2016/12/30/time-varying-risk-premia-in-futures-markets-3079_