| dc.contributor.advisor | Universidad Torcuato Di Tella | |
| dc.contributor.author | Grinberg, Damián | |
| dc.contributor.author | Schreck, Esteban | |
| dc.contributor.author | Treachi, Alejo | |
| dc.date.accessioned | 2017-04-03T15:43:17Z | |
| dc.date.available | 2017-04-03T15:43:17Z | |
| dc.date.issued | 1998 | |
| dc.date.submitted | 1998 | |
| dc.identifier.uri | https://repositorio.utdt.edu/handle/20.500.13098/1231 | |
| dc.description.abstract | This paper tested an arbitrage pricing model for futures contracts on commodities with storage costs. We found that this method proves to be very accurate in describing the behaviour of futures prices for wheat at the Argentine grain futures exchange, the "Bolsa de Cereales de Buenos Aires" (BCBA). A direct test of the futures-price-unbiasedness (FPU) proposition -which states that futures prices are unbiased estimators of future spot prices- was done. The results support the validity of the proposition within the Argentine market. Finally, a theoretical exercise based on Samuelson's classic paper (1965) about the behaviour of futures prices was done together with a brief analysis of arbitrage opportunities. This sections shows that during the analysed period (1991-1996) arbitrage opportunities were only found when abnormal information was introduced and that over the years there was no pattern which would have allowed seasonal arbitrage. We also found that on average, futures prices were better spot prices predictors than a spot price ARIMA econometric model. | es_AR |
| dc.description.sponsorship | | |
| dc.description.sponsorship | Esta tesis no tiene
permisos por parte del autor para ser reproducida, por lo que no se puede fotocopiar, ni
fotografiar ni reproducir con ningún medio. Si eres el autor de la tesis y quieres dar tu
autorización para la reproducción, puedes ponerte en contacto con repositorio@utdt.edu. | |
| dc.format.extent | 39 p. | |
| dc.format.medium | application/pdf | |
| dc.language | spa | |
| dc.publisher | Universidad Torcuato Di Tella | |
| dc.rights | info:eu-repo/semantics/restrictedAccess | es_AR |
| dc.subject | Bolsa de Cereales de Buenos Aires (Argentina) | |
| dc.subject | Modelos económicos | |
| dc.subject | Econometría -- Modelos econométricos | |
| dc.subject | Precios | |
| dc.subject | Tesis | |
| dc.title | Futures contracts pricing and futures price unbiasedness (FPU) hypothesis: Argentinean wheat market | |
| dc.type | info:eu-repo/semantics/bachelorThesis | es_AR |
| UTDT.rights.PDF | Si | |
| UTDT.rights.AUT | No | |
| UTDT.source.signatura | TESIS LECO 1998 GRI | |
| UTDT.source.inventario | 31610U | |
| UTDT.source.bdt | BDT49167 | |
| UTDT.source.idn | 000063931 | |
| thesis.degree.name | Licenciatura en Economía | |
| thesis.degree.level | 0 | es_AR |
| thesis.degree.grantor | Universidad Torcuato Di Tella. Departamento de Economía | |
| dc.audience | Researchers | |
| dc.audience | Students | |
| dc.audience | Teachers | |
| dc.type.version | info:eu-repo/semantics/acceptedVersion | es_AR |
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