caa a22 4500 388047666 CHVBK 20180307125042.0 cr unu---uuuuu 161130e199803 xx s 000 0 eng 10.2307/2331381 doi S0022109000023905 pii (NATIONALLICENCE)cambridge-10.2307/2331381 Pricing Term Structure Risk in Futures Markets [Elektronische Daten] One-period expected returns on futures contracts with different maturities differ because of risk premia in the spreads between futures and spot prices. We analyze the expected returns for futures contracts with different maturities using the information that is present in the current term structure of futures prices. A simple affine one-factor model that implies a constant covariance between the pricing kernel and the cost-of-carry cannot be rejected for heating oil and German Mark futures contracts. For gold and soybean futures, the risk premia depend on the slope of the current term structure of futures prices, while for live cattle futures, the evidence is mixed. Copyright © School of Business Administration, University of Washington 1998 de Roon Frans A. Department of Finance, Erasmus University Rotterdam, The Netherlands Nijman Theo E. CentER for Economic Research, Department of Econometrics and Department of Business Administration, respectively, Tilburg University, The Netherlands. Veld Chris CentER for Economic Research, Department of Econometrics and Department of Business Administration, respectively, Tilburg University, The Netherlands. Journal of Financial and Quantitative Analysis Cambridge University Press 33/1(1998-03), 139-157 0022-1090 33:1<139 1998 33 JFQ https://doi.org/10.2307/2331381 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.2307/2331381 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- de Roon Frans A. Department of Finance, Erasmus University Rotterdam, The Netherlands NATIONALLICENCE 700 1- Nijman Theo E. CentER for Economic Research, Department of Econometrics and Department of Business Administration, respectively, Tilburg University, The Netherlands NATIONALLICENCE 700 1- Veld Chris CentER for Economic Research, Department of Econometrics and Department of Business Administration, respectively, Tilburg University, The Netherlands NATIONALLICENCE 773 0- Journal of Financial and Quantitative Analysis Cambridge University Press 33/1(1998-03), 139-157 0022-1090 33:1<139 1998 33 JFQ CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge