Risk premia in Eurodollar futures prices

Beni Lauterbach, Margaret Monroe Smoller

Research output: Contribution to journalArticlepeer-review

2 Scopus citations


Tests for the presence of risk premia in Eurodollar futures are made and the effects of factors which might affect the size of these premia examined. Using weekly Eurodollar futures prices in the period of 1983 through 1989, premia are found which are positive on average despite a net long hedging demand in the Eurodollar futures market during the sample period. The documented premia seem to be independent of factors such as interest rate level, interest rate volatility, hedging imbalance, and time to delivery of the contract. It is found that a spread strategy to take advantage of these premia is not profitable net of transaction costs.

Original languageEnglish
Pages (from-to)49-57
Number of pages9
JournalApplied Financial Economics
Issue number1
StatePublished - Feb 1996


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