This paper investigates whether the predictability of futures returns is due to weak-form market inefficiency or to rational variation in the return required by investors over time. Market efficiency is tested with respect to the hypothesis that a conditional multifactor model that allows for...

This article identifies some shortcomings in the tests of the Keynesian hypothesis implemented so far. The previous studies either assume integration between futures and equity markets or rely on a methodology that might produce incorrect inferences regarding the presence of a futures risk...

type="main" xml:lang="en" <p>This paper tests whether the variation in expected futures returns reflects rational pricing in an efficient market or weak-form market inefficiency. The issue is investigated by looking at the abnormal performance of a trading rule based on available information. Once...</p>

The UK stockmarket is tested for mean variance efficiency (MVE) in the sense that sectoral stock returns satisfy the restrictions implied by CAPM. There are two main innovations in the paper. One is the use of a model for excess returns in which the conditional covariance matrix of returns...