Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/48847
Authors: 
Zaremba, Adam
Year of Publication: 
2011
Citation: 
[Journal:] Contemporary Economics [ISSN:] 1897-9254 [Volume:] 5 [Year:] 2011 [Issue:] 2 [Pages:] 54-71
Abstract: 
The paper concerns an issue of existence of a risk premium in equity and index futures markets. The paper consists of four parts. The first part describes the basic hypotheses of forward curves in the futures market. In the second section, I formulate 5 hypotheses concerning a risk premium in the equity futures market, its forecastability, and its dependence on a market segment and development stage. The third part includes an empirical study, which confirms the existence of timedependent and partially predictable risk premium. The research was based on the Polish futures market in the years 2000-2010. The last section of the paper discusses potential implications for the financial market practice and indicates areas for further research.
Subjects: 
futures
risk premium
forward curve
JEL: 
G13
G14
G17
Persistent Identifier of the first edition: 
Document Type: 
Article
Appears in Collections:

Files in This Item:
File
Size
862.95 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.