CAPM和三因素模型背景下的三文鱼期货和鱼塘市场

IF 3.8 2区经济学 Q1 AGRICULTURAL ECONOMICS & POLICY

Aquaculture Economics & Management Pub Date : 2021-07-31 DOI:10.1080/13657305.2021.1958105

C. Ewald, Erik Haugom, Leslie Kanthan, Gudbrand Lien, P. Salehi, S. Størdal

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引用次数: 11

摘要

摘要本文在资本资产定价模型(CAPM)和相应的三因素模型的背景下，对挪威鱼池市场交易的新鲜养殖鲑鱼期货进行了分析，其中合约根据其到期日分开。调查1个月;6个月和12个月的合同，我们发现所有的alpha和大多数beta在统计上是不显著的。我们得出结论，CAPM均衡条件成立，三文鱼期货价格的变动与市场投资组合基本不相关，因此不提供系统性风险溢价。后者文件表明，鱼池期货应被视为一种纯粹的对冲工具，而不是一种投资资产。

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Salmon futures and the Fish Pool market in the context of the CAPM and a three-factor model

Abstract Futures on fresh farmed salmon traded at the Fish Pool market in Norway are analyzed in the context of the Capital Asset Pricing Model (CAPM) and a corresponding three-factor model where contracts are separated based on their maturities. Looking into 1 month; 6 months and 12 months contracts, we find that all alphas and most betas are statistically insignificant. We conclude that the CAPM equilibrium condition holds and that Salmon futures prices move largely uncorrelated with the market portfolio and therefore offer no systematic risk premium. The latter documents that Fish Pool futures should be considered as a pure hedging instrument rather than an investment asset.

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来源期刊

Aquaculture Economics & Management FISHERIES-

CiteScore

7.30

自引率

17.90%

发文量

期刊介绍： Aquaculture Economics and Management is a peer-reviewed, international journal which aims to encourage the application of economic analysis to the management, modeling, and planning of aquaculture in public and private sectors. The journal publishes original, high quality papers related to all aspects of aquaculture economics and management including aquaculture production and farm management, innovation and technology adoption, processing and distribution, marketing, consumer behavior and pricing, international trade, policy analysis, and the role of aquaculture in food security, livelihoods, and environmental management. Papers are peer reviewed and evaluated for their scientific merits and contributions.