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

Stevens, Jason

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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.description.provenance	Submitted by Hansel Cook (hansel.cook@smu.ca) on 2019-06-03T18:52:16Z No. of bitstreams: 1 asb_proceedings_2014.pdf: 7314968 bytes, checksum: 96a2102db4b321431f167bd2f611b328 (MD5)	en
dc.description.provenance	Made available in DSpace on 2019-06-03T18:52:16Z (GMT). No. of bitstreams: 1 asb_proceedings_2014.pdf: 7314968 bytes, checksum: 96a2102db4b321431f167bd2f611b328 (MD5) Previous issue date: 2014	en
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