Topic: Expected Spot Premia

Lecturer: Assistant Prof.Jia Zhai, Department of Finance, International Business School, XJTLU

Time: 14:00-16:00 p.m. June 21th, 2023

Venue: B321 Zhixin Building, Central Campus

Abstract: 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.