Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/114886
Title: Term structure of futures prices and expected mean reversion in base metal prices
Authors: Wang, C. 
Keywords: Base metals
Cost-of-carry
LME
Mean reversion
Issue Date: 2004
Source: Wang, C. (2004). Term structure of futures prices and expected mean reversion in base metal prices. Investment Management and Financial Innovations 1 (4) : 8-15. ScholarBank@NUS Repository.
Abstract: We examine expected mean reversion in six base metal prices using a unique LME dataset consisting of prices for futures contracts with maturity dates spanning from 1 to 27 months. We document significant evidence of mean reversion in spot prices for all these metals, although the magnitude of mean reversion differs across these markets. We also find that mean reversion in metal prices arises from a positive covariation between spot prices and implied cash flow yields rather from a negative correlation between spot prices and forward interest rates. © Publishing Company Business Perspectives All rights reserved.
Source Title: Investment Management and Financial Innovations
URI: http://scholarbank.nus.edu.sg/handle/10635/114886
ISSN: 18104967
Appears in Collections:Staff Publications

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