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Salmon Futures and the Fish Pool Market in the Context of the CAPM and the Fama & French Three-Factor Model

Christian-Oliver Ewald, University of Glasgow, Center for Dynamic Macroeconomic Analysis, University of St. Andrews - School of Economics and Finance
Pariya Salehi, University of Glasgow - Adam Smith Business School


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CHRISTIAN-OLIVER EWALD, University of Glasgow, Center for Dynamic Macroeconomic Analysis, University of St. Andrews - School of Economics and Finance
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PARIYA SALEHI, University of Glasgow - Adam Smith Business School
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Futures on fresh farmed salmon traded at the Fishpool market in Norway are analysed in the context of the Capital Asset Pricing Model (CAPM) and a Fama & French like three-factor model where contracts are separated on the basis of their maturities. Looking into 1 month; 5-6 months; 11-12 months and 4 years contracts, we find that while the CAPM applies to most, betas are mainly zero and there are some abnormalities for maturities in the range of 11-12 months. Finally, an analysis of the effect of futures of different maturities on the share price for two major salmon farming companies; Marine Harvest and the Scottish Salmon Company leads to interesting results and consistent behaviour amongst certain maturity contracts.

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