C. Ewald, Erik Haugom, Leslie Kanthan, Gudbrand Lien, P. Salehi, S. Størdal
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引用次数: 11
Abstract
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.
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.
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