Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets.
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. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.
Year of publication: |
1992
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Authors: | Bessembinder, Hendrik |
Published in: |
Review of Financial Studies. - Society for Financial Studies - SFS. - Vol. 5.1992, 4, p. 637-67
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Publisher: |
Society for Financial Studies - SFS |
Saved in:
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