Futures instead of forwards are used to study the complete maturity
spectrum of the correlation between the spot return and the premium from two
days up to six months. The correlation decreases with increasing maturity. We
hypothesize this maturity effect is caused by a latent factor. Futures data allow
us to control for the influence of an unobserved factor that can be decomposed
into a time-to-maturity effect and a contract-specific risk component. Doing this,
we find that the coecient on the forward premium is significantly positive. The
contract-specific part is shown to be related to conventional proxies of risk.