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What explains the difference between the futures' price and its "fair" value? : Evidence from the Euronext Amsterdam
Berglund, Tom; Kabir, Rezaul - In: Research in banking and finance 3 (2003), pp. 1-11
Persistent link: https://www.econbiz.de/10001758181
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What explains the difference between the futures' price and its "fair" value? : Evidence from the European options exchange
Berglund, Tom; Kabir, Rezaul - 1995
Persistent link: https://www.econbiz.de/10000915168
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What Explains the Difference between the Futures' Price and its 'Fair' Value? Evidence from the European Options Exchange
Berglund, Tom - 1998
This paper analyzes systematic deviations of the observed futures price from the value predicted by the simple cost-of-carry relationship. A model to explain this deviation (the basis) is presented in Chen, Cuny, and Haugen (1995, henceforth CCH). According to CCH, the basis should be negatively...
Persistent link: https://www.econbiz.de/10012791722