Template-Type: ReDIF-Article 1.0
Author-Name:  Richard Deaves 
Author-Name:  Itzhak Krinsky
Title:  Risk Premiums and Efficiency in the Market for Crude Oil Futures
Classification-JEL: F0
Pages:  93-118
Volume:  Volume 13
Issue:  Number 2
Year:  1992
Abstract:  The New York Mercantile Exchange's Crude Oil futures contract is investigated for the existence and nature of risk premiums and informational efficiency. During 1983-90, there is some evidence that short-term premiums were positive and covaried with recent volatility. As for efficiency, we find nothing inconsistent with weak-form efficiency, but some apparent violations cf semi-strong efficiency. We argue that, for a number of reasons, such rejections should be interpreted with caution.
Handle: RePEc:aen:journl:1992v13-02-a05
File-URL: http://www.iaee.org/en/publications/ejarticle.aspx?id=1068
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