The efficiency of the market for 5-year call options which are traded on the European Options Exchange in Amsterdam is investigated. Both delta, delta-vega and delta-gamma neutral arbitrage portfolios are studied. No serious inefficiencies in the market for longterm call options are detected....

One-period expected returns on futures contracts with different maturities differ because of risk premia in the spreads between futures and spot prices. We analyze the expected returns for futures contracts with different maturities using the information that is present in the current term...

We present a simple model implying that futures risk premia depend on both own-market and cross-market hedging pressures. Empirical evidence from 20 futures markets, divided into four groups (financial, agricultural, mineral, and currency) indicates that, after controlling for systematic risk,...

This thesis studies portfolio choice and asset pricing with preferences which go beyond the standard expected utility and mean-Variance preferences. The first part of this thesis analyses a decision model in which the decision maker forms endogenous beliefs given his anticipation utility and his...

We use a simple model in which the expected returns in emerging markets depend on their systematicrisk as measured by their beta relative to the world portfolio as well as on the level ofintegration in that market. The level of integration is a time-varying variable that depends on themarket...

This study focuses on the problem of hedging longer‐term commodity positions, which often arises when the maturity of actively traded futures contracts on this commodity is limited to a few months. In this case, using a rollover strategy results in a high residual risk, which is related to the...

Donald Lien and Yan Wang (this issue) suggest an alternative test for different specifications of the term structure of futures prices, as used in our recently published paper in The Journal of Futures Markets. Our paper (Y. V. Veld‐Merkoulova and F. A. de Roon, 2003) focuses on developing...