We develop a closed-form general equilibrium model of stock index futures prices in a continuous-time economy with stochastic interest rates and market volatility. We show that futures prices implied by the model have very different properties from those of the cost of carry model. Using NYSE stock index futures data, we examine the restrictions imposed on futures prices by both the equilibrium and cost of carry models. Consistent with the equilibrium model, we find that stock index futures prices are related to market volatility and that their interest-rate sensitivity is a nonlinear function of contract maturity.

Robert A. Jarrow, J. Chris Leach, The Relevance of Fiduciary Conflict-of-Interests in Control versus Issue Proxy Contests, The Journal of Financial and Quantitative Analysis, Vol. 26, No. 4 (Dec., 1991), pp. 533-547

Elizabeth Tashijan Johnston, William A. Kracaw, John J. McConnell, Day-of-the-Week Effects in Financial Futures: An Analysis of GNMA, T-Bond, T-Note, and T-Bill Contracts, The Journal of Financial and Quantitative Analysis, Vol. 26, No. 1 (Mar., 1991), pp. 23-44

This paper assesses the ability of financial statement variables to forecast sensitivities to systematic risk factors generated by a multifactor, macroeconomic forces model. Forecasts of beta derived from financial variables are shown to outperform naive, random walk forecasts, although Bayesian-adjusted betas perform as well as the financial variables model.