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Jul 31, 2021 · Abstract. Futures on fresh farmed salmon traded at the Fish Pool market in Norway are analyzed in the context of the Capital Asset Pricing Model (CAPM) and a corresponding three-factor model where contracts are separated based on their maturities.
- Christian-Oliver Ewald, Erik Haugom, Leslie Kanthan, Gudbrand Lien, Pariya Salehi, Ståle Størdal
- 2021
Jul 31, 2021 · Abstract Futures on fresh farmed salmon traded at the Fish Pool market in Norway are analyzed in the context of the Capital Asset Pricing Model (CAPM) and a corresponding three-factor model where contracts are separated based on their maturities. Looking into 1 month; 6 months and 12 months contracts, we find that all alphas and most betas are statistically insignificant. We conclude that the ...
Feb 20, 2015 · Futures on fresh farmed salmon traded at the Fishpool market in Norway are analysed in the context of the Capital Asset Pricing Model (CAPM) and a Fama & French like three-factor model where contracts are separated on the basis of their maturities. Looking into 1 month; 5-6 months; 11-12 months and 4 years contracts, we find that while the CAPM applies to most, betas are mainly zero and there ...
Fish Pool is a new derivatives market, where futures and options on fresh farmed salmon are traded in large quantities since 2006. Located in Bergen (Norway), contract volumes traded at this market have reached 102.295 tons, equivalent to 440 million Euro, during 2013. These numbers continue a strong upwards trend from previous years.
Sep 14, 2016 · Using the popular Schwartz 97 two-factor approach, we study future contracts written on fresh farmed salmon, which have been actively traded at the Fish Pool Market in Norway since 2006. This approach features a stochastic convenience yield for the salmon spot price.
- Christian Oliver Ewald, Roy Nawar, Ruolan Ouyang, Tak Kuen Siu
- 2016
Apr 1, 2020 · Abstract Futures on fresh farmed salmon traded at the Fish Pool market in Norway are analyzed in the context of the Capital Asset Pricing Model (CAPM) and a corresponding three-factor model where … Expand
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Futures on fresh farmed salmon traded at the Fish Pool market in Norway are analyzed in the context of the Capital Asset Pricing Model (CAPM) and a corresponding three-factor model where contracts ...
