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- W2903119233 abstract "Abstract We examine the formation of forward rates in the dry bulk shipping industry. We illustrate that the bulk of basis volatility can be attributed to expectations about future physical market conditions rather than expectations about future risk premia. However, there exists significant predictability of risk premia by both price‐based signals and economic variables. To explain this finding, we develop a dynamic asset pricing framework where, apart from having different objective functions, agents might also differ in the way they form expectations about future market conditions. Accordingly, we argue that the average investor should hold “near‐rational” but slightly contrarian beliefs." @default.
- W2903119233 created "2018-12-11" @default.
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- W2903119233 date "2018-12-14" @default.
- W2903119233 modified "2023-10-01" @default.
- W2903119233 title "The formation of forward freight agreement rates in dry bulk shipping: Spot rates, risk premia, and heterogeneous expectations" @default.
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- W2903119233 doi "https://doi.org/10.1002/fut.21980" @default.
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