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Samuelson hypothesis and carry arbitrage

Brooks, Robert - In: The journal of derivatives : the official publication … 20 (2012) 2, pp. 37-65

Persistent link: https://www.econbiz.de/10009718108

Are jumps in stock returns diversifiable? : Evidence and implications for option pricing

Kim, Myung-jig - In: Journal of financial and quantitative analysis : JFQA 29 (1994) 4, pp. 609-631

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Growth/value, market cap, and momentum

Wang, Jun; Brooks, Robert; Lu, Xing; Holzhauer, Hunter M. - In: The journal of investing 23 (2014) 1, pp. 33-42

Persistent link: https://www.econbiz.de/10011312856

Sector momentum

Wang, Jun; Brooks, Robert; Lu, Xing; Holzhauer, Hunter M. - In: The journal of investing 26 (2017) 2, pp. 48-60

Persistent link: https://www.econbiz.de/10011736200

Bond portfolio holding period return decomposition

Brooks, Robert; Upton, Kate - In: The journal of investing 26 (2017) 2, pp. 78-90

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Samuelson Hypothesis and Carry Arbitrage

Brooks, Robert - 2012

We examine the relationship between the Samuelson hypothesis and carry arbitrage. The empirical-based Samuelson hypothesis states that futures price volatility will increase with approaching expiration. The existing empirical evidence related to the Samuelson hypothesis is mixed. The...

Persistent link: https://www.econbiz.de/10013116320