Rational Expectations and Risk Premia in Forward Markets: Primary Metals at the London Metals Exchange
检验了伦敦金属交易所四种初级金属的远期价格是否等于交易者对到期现货价格的预期，发现存在随时间变化的风险溢价。
ABSTRACT This paper tests whether forward prices equal the traders' expectations of the future spot prices at maturity, under two different models of expectations formation: full information rational expectations and incomplete information mechanical forecasting rule. The tests are performed, over the period January 1970 through September 1980, on the forward markets for the primary metals—copper, tin, lead, and zinc‐traded in the London Metals Exchange. We find evidence consistent with the existence of time varying risk premia.