Showing papers on "Spot contract published in 1974"
TL;DR: The authors found that cash cattle prices are more accurate indicators of subsequent cash cattle price conditions than are the futures prices for distant contracts, and that the apparent relative inability of futures prices to reflect later spot prices is becoming more pronounced over time.
Abstract: Cash cattle prices are found to be more accurate indicators of subsequent cash cattle price conditions than are the futures prices for distant contracts. This apparent relative inability of futures prices for live beef cattle to reflect later spot prices is becoming more pronounced over time.
110 citations
TL;DR: Olsen as mentioned in this paper introduced a proxy for risk or uncertainty about interest rates as an additional determinant of the liquidity premium and used the expected future spot rate as a linear combination of the current and past spot rates.
Abstract: The classic article about liquidity premiums is Kessel [3]. Kessel regresses the liquidity premium, measured as the difference between the forward rate and the actual future spot rate, against the current spot rate and observes a positive relation between the level of the current spot rate and the size of the liquidity premium. Olsen alters Kessel's model in two respects. First, he introduces a proxy for risk or uncertainty about interest rates as an additional determinant of the liquidity premium. Second, instead of using the actual future spot rate as a measure of the expected future spot rate, he specifies the expected future spot rate as a linear combination of the current and past spot rates.
2 citations