Efficiency in the Pricing of the FTSE 100 Futures Contract
通过将期货收益的可预测变动与随时间变化的风险和风险溢价联系起来，研究FTSE 100期货的定价效率，发现可预测性主要源于时变风险因素，而非市场无效。
This paper studies the pricing efficiency in the FTSE 100 futures contract by linking the predictable movements in futures returns to the time‐varying risk and risk premia associated with prespecified factors. The results indicate that the predictability of the FTSE 100 futures returns is consistent with a conditional multifactor model with time‐varying moments. The dynamics of the factor risk premia, combined with the variation in the betas, capture most of the predictable variance of returns, leaving little variation to be explained in terms of market inefficiency. Hence the predictive power of the instruments does not justify a rejection of market efficiency.