Futures Trading, Rational Expectations, and the Efficient Markets Hypothesis

DOI10.2307/1911513MaRDI QIDQ3905017zbMATH OpenOpenAlexFDO

Authors Margaret Bray

Publication date 1981

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1911513

zbMATH Keywords

constant absolute risk aversion utility functionsefficiency conditionsefficient markets hypothesisfutures tradinginformational efficiencynecessary and sufficient conditionsnormal distributionsrational expectationstwo-period model

Mathematics Subject Classification ID

Economic growth models (91B62)

Cited in

(9)

• Price relations on futures markets for storable commodities
• Futures markets, production and diversification of risk
• Expectations equilibria with dispersed forecasts
• On the qualitative properties of futures market equilibrium
• Dynamic price formation in a futures market via double auctions
• Common knowledge: The case of linear regression
• Production uncertainty and the input decision of the competitive firm facing the futures market
• Price discovery and spillover dynamics in the Chinese stock index futures market: a natural experiment on trading volume restriction
• Optimal hedging and equilibrium in a dynamic futures market

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