Outputs (2)

Financial Frictions and the Futures Pricing Puzzle (2019)
Journal Article
Gwilym, R., Ebrahim, M., El Alaoui, A., Rahman, H., & Taamouti, A. (2020). Financial Frictions and the Futures Pricing Puzzle. Economic Modelling, 87, 358-371. https://doi.org/10.1016/j.econmod.2019.08.009

In perfect capital markets, the futures price of an asset should be an unbiased forecast of its realized spot price when the contract matures. In reality, futures prices are often higher for some assets and lower for others. However, there is no stab... Read More about Financial Frictions and the Futures Pricing Puzzle.

The information content of forward moments (2019)
Journal Article
Andreou, P., Kagkadis, A., Philip, D., & Taamouti, A. (2019). The information content of forward moments. Journal of Banking and Finance, 106, 527-541. https://doi.org/10.1016/j.jbankfin.2019.07.021

We estimate the term structures of risk-neutral forward variance and skewness, and examine their predictive power for equity market excess returns and variance. We use Partial Least Squares to extract a single predictive factor from each term structu... Read More about The information content of forward moments.