A Model of Returns and Trading in Futures Markets
构建了一个竞争性期货市场的均衡模型，投资者为对冲和投机私人信息而交易，分析了信息不对称程度对收益波动期限结构的影响，并解释了未平仓合约和现货价格波动的时间模式。
This paper develops an equilibrium model of a competitive futures market in which investors trade to hedge positions and to speculate on their private information. Equilibrium return and trading patterns are examined. (1) In markets where the information asymmetry among investors is small, the return volatility of a futures contract decreases with time‐to‐maturity (i.e., the Samuelson effect holds). (2) However, in markets where the information asymmetry among investors is large, the Samuelson effect need not hold. (3) Additionally, the model generates rich time‐to‐maturity patterns in open interest and spot price volatility that are consistent with empirical findings.