Risk premium on crude oil futures prices

Liao, Hongbo

dc.contributor.advisor	Ye, George
dc.coverage.spatial	United States
dc.creator	Liao, Hongbo
dc.date.accessioned	2013-09-27T18:45:23Z
dc.date.available	2013-09-27T18:45:23Z
dc.date.issued	2013
dc.identifier.uri	http://library2.smu.ca/xmlui/handle/01/25236
dc.description	1 online resource (iv, 28 p.) : col. ill.
dc.description	Includes abstract.
dc.description	Includes bibliographical references (p. 26-28).
dc.description.abstract	This paper tests the risk premium on crude oil future prices in the US market. The history data on five crude oil spot prices and one crude oil future are collected through the period 2011 to 2013. To examine the risk premium on crude oil future prices based on the sample, this paper employs the cost of carry model. Meanwhile, OLS and GLS are the major regression used in this research. The results of the empirical study show that the risk premium on crude oil future prices is positive. This paper concludes that if the spot price grows, the potential profit to invest in crude oil futures is optimistic.	en_CA
dc.description.provenance	Submitted by Trish Grelot (trish.grelot@smu.ca) on 2013-09-27T18:45:23Z No. of bitstreams: 1 liao_hongbo_mrp_2013.pdf: 435193 bytes, checksum: 13c2d2ca19edae2f36dfca08e67e349b (MD5)	en
dc.description.provenance	Made available in DSpace on 2013-09-27T18:45:23Z (GMT). No. of bitstreams: 1 liao_hongbo_mrp_2013.pdf: 435193 bytes, checksum: 13c2d2ca19edae2f36dfca08e67e349b (MD5)	en
dc.language.iso	en	en_CA
dc.publisher	Halifax, N.S. : Saint Mary's University
dc.title	Risk premium on crude oil futures prices	en_CA
dc.type	Text	en_CA
thesis.degree.name	Master of Finance
thesis.degree.level	Masters
thesis.degree.discipline	Finance, Information Systems, & Management Science
thesis.degree.grantor	Saint Mary's University (Halifax, N.S.)