Joëlle Miffre, Ana-Maria Fuertes, Adrian Fernandez-Perez: This paper shows that backwardation versus contango factor-mimicking portfolios exhibit in-sample and out-of-sample predictive power for the first two moments of the distribution of long-run aggregate market returns and for the business cycle.
EDHEC Business School
Cass Business School, City University London
Auckland University of Technology
|Type :||Working paper|
|Date :||le 31/07/2015|
|Extra information :||For more information, please contact EDHEC Research and Development Department [ firstname.lastname@example.org ]|
|Research Cluster :||Finance|