Grain Price Expectations of Illinois Farmers and Grain Merchandisers
研究测量了期货和期权价格在多大程度上反映了伊利诺伊州农民和谷物经销商的主观价格分布，发现期货价格通常能代表预期价格，但期权隐含波动率高估了主观方差，与心理学中的过度自信一致。
Abstract The study's purpose is to measure the extent to which futures and option prices reflect the subjective price distribution of a subset of market participants, farmers, and grain merchandisers in Illinois. Findings suggest that in most instances the futures price is an appropriate proxy for expected price. However, volatilities implied by option premia usually overestimate the subjective variances of producers and merchandisers. These differences between individual and market expectations of variance are consistent with findings of overconfidence in the psychology literature and should be considered by analysts when making observations about hedging decisions and risk aversion.