Essays on testing for spanning and on modeling futures risk premia

Research output: ThesisDoctoral Thesis

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Abstract

The portfolio choices of investors and asset pricing are two important topics in financial economics. These two topics form the main theme of this study. The first part of the study, which is about spanning and intersection, mainly focuses on the portfolio choices of investors. Building on the well known mean-variance portfolio theory of Markowitz, we analyze whether investors can extend their efficient set by including additional securities in their portfolio, which comes down to evaluating the performance of the additional assets. The analysis of this portfolio question is extended to the case where investors have non mean-variance utility functions, where investors face nonmarketable risks, and where investors face short sales constraints and transaction costs. Empirical applications for the analysis in the first part are given for futures markets and for emerging markets. The second part of this study is about risk premia in futures markets. In this part, we first provide an empirical analysis of the effects that the presence of hedgers has on futures risk premia. This effect is known as the so called hedging pressure. Finally, we give an empirical analysis of the differences in risk premia for futures contracts that differ in their maturity only.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • Veld, C.H., Co-promotor
  • Nijman, Theo, Promotor
Award date17 Dec 1997
Place of PublicationTilburg
Publisher
Print ISBNs9056680323
Publication statusPublished - 1997

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