Hedging Pressure Effects in Futures Markets
提出一个简单模型，认为期货风险溢价受自身市场和对冲压力的影响。基于20个期货市场的证据，发现自身和对冲压力显著影响期货收益，且对标的资产收益也有解释力。
We present a simple model implying that futures risk premia depend on both own‐market and cross‐market hedging pressures. Empirical evidence from 20 futures markets, divided into four groups (financial, agricultural, mineral, and currency) indicates that, after controlling for systematic risk, both the futures own hedging pressure and cross‐hedging pressures from within the group significantly affect futures returns. These effects remain significant after controlling for a measure of price pressure. Finally, we show that hedging pressure also contains explanatory power for returns on the underlying asset, as predicted by the model.