Relaciones rentabilidad-riesgo en futuros sobre deuda a largo plazo
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Universitat d'Alacant
info
Año de publicación: 1995
Número: 8
Páginas: 1-26
Tipo: Documento de Trabajo
Resumen
The aim of this paper is to analyze the existence of risk premia whithin the theorical framework of the CAPM, for long term interest rate futures contracts of the Spanish Market for Financial Futures. The analysis shows that the operators in futures bear systematic risk, and that its remuneration seems to be adequate for the bearable risk level. However the results should be regarded as a provisional advance, since the temporary series of profitability are discontinuous and the number of negotiated contracts is small.