This paper is concerned with the effect of futures trading in Treasury bills on the volatility of yields in the cash market. It is found that futures trading led to a decrease in volatility initially, but the effect disappeared when futures volume became large and possibly resulted in increased volatility in the secondary cash market. The results also indicated that the deliverable bill appears to sell at a small premium relative to the adjacent maturities prior to the delivery date.

Tom W. Miller, Bernell K. Stone, Daily Cash Forecasting and Seasonal Resolution: Alternative Models and Techniques for Using the Distribution Approach, The Journal of Financial and Quantitative Analysis, Vol. 20, No. 3 (Sep., 1985), pp. 335-351

Douglas V. DeJong, Daniel W. Collins, Explanations for the Instability of Equity Beta: Risk-Free Rate Changes and Leverage Effects, The Journal of Financial and Quantitative Analysis, Vol. 20, No. 1 (Mar., 1985), pp. 73-94

We develop a positive theory of the hedging behavior of value-maximizing corporations. We treat hedging by corporations simply as one part of the firm's financing decisions. We examine (1) taxes, (2) contracting costs, and (3) the impact of hedging policy on the firm's investment decisions as explanations of the observed wide diversity of hedging practices among large, widely-held corporations. Our theory provides answers to the questions: (1) why some firms hedge and others do not; (2) why firms hedge some risks but not others; and (3) why some firms hedge their accounting risk exposure while others hedge their economic value.