Essays on testing for spanning and on modeling futures risk premia

Research output: ThesisDoctoral ThesisScientific

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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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Investors
Testing
Modeling
Risk premia
Futures markets
Portfolio choice
Empirical analysis
Maturity
Hedging
Financial economics
Emerging markets
Transaction costs
Efficient set
Utility function
Asset pricing
Short-sale constraints
Assets
Futures contracts
Mean-variance
Portfolio theory

Cite this

de Roon, F. A. (1997). Essays on testing for spanning and on modeling futures risk premia. Tilburg: CentER, Center for Economic Research.
de Roon, F.A.. / Essays on testing for spanning and on modeling futures risk premia. Tilburg : CentER, Center for Economic Research, 1997. 203 p.
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de Roon, FA 1997, 'Essays on testing for spanning and on modeling futures risk premia', Doctor of Philosophy, Tilburg University, Tilburg.

Essays on testing for spanning and on modeling futures risk premia. / de Roon, F.A.

Tilburg : CentER, Center for Economic Research, 1997. 203 p.

Research output: ThesisDoctoral ThesisScientific

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AB - 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.

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T3 - CentER Dissertation Series

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de Roon FA. Essays on testing for spanning and on modeling futures risk premia. Tilburg: CentER, Center for Economic Research, 1997. 203 p. (CentER Dissertation Series).