Liquidation Bias in Futures Price Spreads
发现大多数商品期货合约在最后几周价格会小幅但统计显著地上涨，并检验了四种解释，其中两种挤压理论不太可信，而凯恩斯-希克斯假说变体和交易与交割重叠理论更合理，但需更多数据评估。
Abstract This paper reports an unmistakable tendency during the final weeks of trading for the price of most commodity futures contracts to rise by a small but statistically significant amount relative to the price of the next maturity. Of four explanations examined, two squeeze theories are least plausible in the light of available evidence. The other two theories, one a variant of the Keynes‐Hicks hypothesis, the other a theory based on the overlap of trading and delivery, are more plausible. Yet they differ in character, generality, and in their implications for market efficiency. More data are needed to appraise them.