SYSTEMATIC-RISK, HEDGING PRESSURE, AND RISK PREMIUMS IN FUTURES MARKETS

• 成果类型: Article
• 署名作者: BESSEMBINDER, H
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/5.4.637
• 发表日期: 1992
• 页码: 637
• 关键词: ASSET PRICING MODEL; normal backwardation; equilibrium-model; returns; prices; INFORMATION; CONTRACTS; movements; tests

摘要

I examine the uniformity of risk pricing in futures and asset markets. Tests against a general alternative do not reject complete integration of futures and asset markets. As predicted, estimates of the zero-beta rate for futures are close to zero, and premiums for systematic risk do not differ significantly across assets and futures. There is, however, evidence consistent with a specific alternative model presented by Hirshleifer (1988). Returns in foreign currency and agricultural futures vary with the net holdings of hedgers, after controlling for systematic risk. These results imply a degree of market segmentation and support hedging pressure as a determinant of futures premiums.