On the information content of oil future prices

Detalhes bibliográficos
Autor(a) principal: Tabak, Benjamin Miranda
Data de Publicação: 2003
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Economia Aplicada
Texto Completo: https://www.revistas.usp.br/ecoa/article/view/220077
Resumo: This paper deals with the efficiency of the Brent Crude oil future contracts and tests whether futures can be used to predict realized oil spot prices. Evidence suggests that future prices up to three-months contracts on Brent Crude are unbiased predictors of future spot prices but the explanation power is not high (around 20%). Furthermore, using cointegration techniques the unbiasedness hypothesis for future prices as predictors of realized spot prices could not be rejected. When the sample is divided into sub-periods, the absence of bias in futures prices is rejected.
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spelling On the information content of oil future pricesinformation contentBrent Crudeoil pricesfuturescointegrationThis paper deals with the efficiency of the Brent Crude oil future contracts and tests whether futures can be used to predict realized oil spot prices. Evidence suggests that future prices up to three-months contracts on Brent Crude are unbiased predictors of future spot prices but the explanation power is not high (around 20%). Furthermore, using cointegration techniques the unbiasedness hypothesis for future prices as predictors of realized spot prices could not be rejected. When the sample is divided into sub-periods, the absence of bias in futures prices is rejected.Universidade de São Paulo, FEA-RP/USP2003-02-07info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://www.revistas.usp.br/ecoa/article/view/22007710.11606/1413-8050/ea220077Economia Aplicada; Vol. 7 Núm. 1 (2003); 111-131Economia Aplicada; Vol. 7 No. 1 (2003); 111-131Economia Aplicada; v. 7 n. 1 (2003); 111-1311980-53301413-8050reponame:Economia Aplicadainstname:Universidade de São Paulo (USP)instacron:USPenghttps://www.revistas.usp.br/ecoa/article/view/220077/200895Copyright (c) 2003 Economia Aplicadahttp://creativecommons.org/licenses/by-nc/4.0info:eu-repo/semantics/openAccessTabak, Benjamin Miranda 2023-12-11T18:30:06Zoai:revistas.usp.br:article/220077Revistahttps://www.revistas.usp.br/ecoaPUBhttps://www.revistas.usp.br/ecoa/oai||revecap@usp.br1980-53301413-8050opendoar:2023-12-11T18:30:06Economia Aplicada - Universidade de São Paulo (USP)false
dc.title.none.fl_str_mv On the information content of oil future prices
title On the information content of oil future prices
spellingShingle On the information content of oil future prices
Tabak, Benjamin Miranda
information content
Brent Crude
oil prices
futures
cointegration
title_short On the information content of oil future prices
title_full On the information content of oil future prices
title_fullStr On the information content of oil future prices
title_full_unstemmed On the information content of oil future prices
title_sort On the information content of oil future prices
author Tabak, Benjamin Miranda
author_facet Tabak, Benjamin Miranda
author_role author
dc.contributor.author.fl_str_mv Tabak, Benjamin Miranda
dc.subject.por.fl_str_mv information content
Brent Crude
oil prices
futures
cointegration
topic information content
Brent Crude
oil prices
futures
cointegration
description This paper deals with the efficiency of the Brent Crude oil future contracts and tests whether futures can be used to predict realized oil spot prices. Evidence suggests that future prices up to three-months contracts on Brent Crude are unbiased predictors of future spot prices but the explanation power is not high (around 20%). Furthermore, using cointegration techniques the unbiasedness hypothesis for future prices as predictors of realized spot prices could not be rejected. When the sample is divided into sub-periods, the absence of bias in futures prices is rejected.
publishDate 2003
dc.date.none.fl_str_mv 2003-02-07
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://www.revistas.usp.br/ecoa/article/view/220077
10.11606/1413-8050/ea220077
url https://www.revistas.usp.br/ecoa/article/view/220077
identifier_str_mv 10.11606/1413-8050/ea220077
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv https://www.revistas.usp.br/ecoa/article/view/220077/200895
dc.rights.driver.fl_str_mv Copyright (c) 2003 Economia Aplicada
http://creativecommons.org/licenses/by-nc/4.0
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2003 Economia Aplicada
http://creativecommons.org/licenses/by-nc/4.0
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade de São Paulo, FEA-RP/USP
publisher.none.fl_str_mv Universidade de São Paulo, FEA-RP/USP
dc.source.none.fl_str_mv Economia Aplicada; Vol. 7 Núm. 1 (2003); 111-131
Economia Aplicada; Vol. 7 No. 1 (2003); 111-131
Economia Aplicada; v. 7 n. 1 (2003); 111-131
1980-5330
1413-8050
reponame:Economia Aplicada
instname:Universidade de São Paulo (USP)
instacron:USP
instname_str Universidade de São Paulo (USP)
instacron_str USP
institution USP
reponame_str Economia Aplicada
collection Economia Aplicada
repository.name.fl_str_mv Economia Aplicada - Universidade de São Paulo (USP)
repository.mail.fl_str_mv ||revecap@usp.br
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