Click to login and read the full article.
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600
Abstract
The “Samuelson Hypothesis” holds that volatility of futures prices increases as maturity approaches. Samuelson’s explanation for this effect in a 1965 paper is not widely known, even by authors who tried to test for it empirically. For instance, futures prices in Samuelson’s analysis do not come from the cost-of-carry model. In this article, Brooks conducts a vast empirical exploration of the Samuelson Hypothesis with 50 futures markets over close to 20 years and finds that while some markets do show this effect, those in which the carry arbitrage trade is easy to execute generally do not.
TOPICS: Futures and forward contracts, volatility measures, statistical methods
- © 2012 Pageant Media Ltd
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600