Expected spot premia

Yi Cao, Yizhe Dong, Jia Zhai, Pengfei Luo

Research output: Contribution to conferencePaperpeer-review

Abstract / Description of output

We derive a formula for expected spot premia (ESPs) that can be computed from option prices. An ESP is shown to be an unbiased proxy for individual futures spot premia and can be an effective predictor of log returns on individual futures. An ESP outperforms conventional factors in predicting futures returns, and yields significant returns in several economic applications based on both cross-sectional and time series. We consider an ESP alone to be a strong factor in explaining futures returns.
Original languageEnglish
Publication statusPublished - 26 Jul 2023
EventInternational Finance and Banking Society Conference 2023 - Saïd Business School, University of Oxford, Oxford, United Kingdom
Duration: 24 Jul 202326 Jul 2023


ConferenceInternational Finance and Banking Society Conference 2023
Country/TerritoryUnited Kingdom
Internet address


Dive into the research topics of 'Expected spot premia'. Together they form a unique fingerprint.

Cite this