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.

摘要

在资本资产定价模型 (CAPM) 和相应的三因素模型的背景下，分析了在挪威鱼池市场交易的新鲜养殖鲑鱼的期货，其中合约根据到期日进行分离。展望1个月；6 个月和 12 个月的合约，我们发现所有 alpha 和大多数 beta 在统计上不显着。我们得出结论，CAPM 均衡条件成立，鲑鱼期货价格的变动在很大程度上与市场投资组合不相关，因此不提供系统性风险溢价。后者文件表明鱼池期货应被视为一种纯粹的对冲工具，而不是一种投资资产。