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dc.contributor.advisorUniversidad Torcuato Di Tella
dc.contributor.authorGrinberg, Damián
dc.contributor.authorSchreck, Esteban
dc.contributor.authorTreachi, Alejo
dc.date.accessioned2017-04-03T15:43:17Z
dc.date.available2017-04-03T15:43:17Z
dc.date.issued1998
dc.date.submitted1998
dc.identifier.urihttps://repositorio.utdt.edu/handle/20.500.13098/1231
dc.description.abstractThis 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.sponsorshipEsta 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.extent39 p.
dc.format.mediumapplication/pdf
dc.languagespa
dc.publisherUniversidad Torcuato Di Tella
dc.rightsinfo:eu-repo/semantics/restrictedAccesses_AR
dc.subjectBolsa de Cereales de Buenos Aires (Argentina)
dc.subjectModelos económicos
dc.subjectEconometría -- Modelos econométricos
dc.subjectPrecios
dc.subjectTesis
dc.titleFutures contracts pricing and futures price unbiasedness (FPU) hypothesis: Argentinean wheat market
dc.typeinfo:eu-repo/semantics/bachelorThesises_AR
UTDT.rights.PDFSi
UTDT.rights.AUTNo
UTDT.source.signaturaTESIS LECO 1998 GRI
UTDT.source.inventario31610U
UTDT.source.bdtBDT49167
UTDT.source.idn000063931
thesis.degree.nameLicenciatura en Economía
thesis.degree.level0es_AR
thesis.degree.grantorUniversidad Torcuato Di Tella. Departamento de Economía
dc.audienceResearchers
dc.audienceStudents
dc.audienceTeachers
dc.type.versioninfo:eu-repo/semantics/acceptedVersiones_AR
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