Salmon futures and the Fish Pool market in the context of the CAPM and a three-factor model

Ewald, C.-O. , Haugom, E., Kanthan, L., Lien, G., Salehi, P. and Størdal, S. (2022) Salmon futures and the Fish Pool market in the context of the CAPM and a three-factor model. Aquaculture Economics and Management, 26(2), pp. 171-191. (doi: 10.1080/13657305.2021.1958105)

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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 CAPM equilibrium condition holds and that Salmon futures prices move largely uncorrelated with the market portfolio and therefore offer no systematic risk premium. The latter documents that Fish Pool futures should be considered as a pure hedging instrument rather than an investment asset.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:Ewald, Professor Christian
Authors: Ewald, C.-O., Haugom, E., Kanthan, L., Lien, G., Salehi, P., and Størdal, S.
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Aquaculture Economics and Management
Publisher:Taylor & Francis
ISSN:1365-7305
ISSN (Online):1551-8663
Published Online:31 July 2021
Copyright Holders:Copyright © 2021 The Authors
First Published:First published in Aquaculture Economics and Management 26(2): 171-191
Publisher Policy:Reproduced under a Creative Commons License

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