Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets
Review of Financial Studies
1992
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.
- DOI
- 10.1093/rfs/5.4.637
- Volume
- 5 (4)
- Pages
- 637-667
- Language
- en
- Export
- BibTeX
- Sources
- openalex crossref