MétaCan
Menu
Back to cohort
Record W2126457176 · doi:10.1080/09603100050031462

Are forward premia mean reverting?

2000· article· en· W2126457176 on OpenAlex

Why this work is in the frame

A frame that forgets how it found something cannot be audited. These are the routes that admitted this work.

affAt least one author lists a Canadian institution in the pinned OpenAlex snapshot.

Bibliographic record

VenueApplied Financial Economics · 2000
Typearticle
Languageen
FieldEconomics, Econometrics and Finance
TopicFinancial Markets and Investment Strategies
Canadian institutionsThe Scarborough HospitalUniversity of Toronto
Fundersnot available
KeywordsMean reversionEconomicsInefficiencyEconometricsFinancial economicsRisk premiumMicroeconomics

Abstract

fetched live from OpenAlex

The return regression methodology is used to test for mean reversion in the forward market for US T-bills over the period 1964 to 1995. Substantial evidence of mean reversion is found in one- to ten-month forward spreads over the 12 to 24 month horizon. Such evidence is indicative of market inefficiency or speculative dynamics in models with time-invariant term premia. This is not necessarily the case, however, in models with time-varying term premia. We show that forward premia estimated using a multi-factor GARCH model accounts for this evidence, thus reconciling the evidence of mean reversion with market efficiency.

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

Full frame distilled prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.

metaresearch head score (Codex)0.000
metaresearch head score (Gemma)0.000
Version: codex-gemma-dda1882f352aValidation status: machine_predicted_unvalidated
Candidate categoriesMeta-epidemiology (narrow), Insufficient payload (model declined to judge)
Consensus categoriesInsufficient payload (model declined to judge)
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Theoretical or conceptual · Consensus signal: none
GenreCandidate signal: Empirical · Consensus signal: Empirical
Teacher disagreement score0.644
Threshold uncertainty score1.000

Codex and Gemma teacher scores by category

CategoryCodexGemma
Metaresearch0.0000.000
Meta-epidemiology (narrow)0.0000.000
Meta-epidemiology (broad)0.0010.000
Bibliometrics0.0000.000
Science and technology studies0.0000.000
Scholarly communication0.0000.000
Open science0.0000.000
Research integrity0.0000.000
Insufficient payload (model declined to judge)0.0020.003

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.017
GPT teacher head0.185
Teacher spread0.167 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it