Delivery Uncertainty and the Efficiency of Futures Markets
研究期货合约中交割基差风险对市场效率检验的影响，以大豆期货为例，发现考虑预期交割基差和风险溢价后，市场效率假说不再被拒绝。
This paper examines the effects of the delivery basis risk embedded in nearly all futures contracts on efficiency tests of these markets. Examining soybean futures contracts, we show that delivery basis risk has important implications for market efficiency tests. As? suming no delivery basis risk, the market efficiency hypothesis is rejected. However, fu? tures prices contain signiflcant time-varying expected delivery basis and time-varying ex? pected delivery risk premiums. Once these expected delivery basis and delivery risk premiums are accounted for, the apparent inefficiency is eliminated. Equilibrium spot prices also contain signiflcant time-varying expected delivery risk premiums.