Does the basis regression overstate the predictive value of the futures price?

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dc.creator Stevens, Jason
dc.date.accessioned 2019-06-03T18:52:16Z
dc.date.available 2019-06-03T18:52:16Z
dc.date.issued 2014
dc.identifier http://library2.smu.ca/bitstream/handle/01/28851/asb_proceedings_2014.pdf?sequence=1&isAllowed=y#page=88
dc.identifier.uri http://library2.smu.ca/handle/01/28861
dc.description.abstract The spread between the current spot and futures prices (the basis) is one of the most popular predictors of movement in the future spot price. <br/> This paper demonstrates that the use of a popular regression technique to evaluate the ability of the futures price to predict movement in the spot price results in a test statistic with a non-standard distribution. A small Monte-Carlo experiment reveals that standard procedures may result in a high probability of type one error. en_CA
dc.language.iso en en_CA
dc.publisher Atlantic Schools of Business en_CA
dc.subject.lcsh Regression analysis
dc.subject.lcsh Basis (Futures trading)
dc.subject.lcsh Spot prices
dc.title Does the basis regression overstate the predictive value of the futures price? en_CA
dc.type Text en_CA
dcterms.bibliographicCitation Proceedings of the 44th Atlantic Schools of Business conference, Mount Saint Vincent University, 2014, pp 88-93


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