Kavussanos, Manolis; Visvikis, Ilias; Menachof, David - In: Review of Derivatives Research 7 (2005) 3, pp. 241-266
The current paper investigates the unbiasedness hypothesis of Forward Freight Agreement (FFA) prices in the freight over-the-counter (OTC) forward market trades. Cointegration techniques are employed to examine the hypothesis. The results indicate that: FFA prices one and two months before...