Futures Trading, Rational Expectations, and the Efficient Markets Hypothesis
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Publication:3905017
DOI10.2307/1911513zbMath0456.90016OpenAlexW2010619358MaRDI QIDQ3905017
Publication date: 1981
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1911513
rational expectationsnecessary and sufficient conditionsefficiency conditionsinformational efficiencynormal distributionsefficient markets hypothesistwo-period modelfutures tradingconstant absolute risk aversion utility functions
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On the qualitative properties of futures market equilibrium ⋮ Dynamic price formation in a futures market via double auctions ⋮ Production uncertainty and the input decision of the competitive firm facing the futures market ⋮ Price discovery and spillover dynamics in the Chinese stock index futures market: a natural experiment on trading volume restriction ⋮ Optimal hedging and equilibrium in a dynamic futures market ⋮ Common knowledge: The case of linear regression ⋮ Price relations on futures markets for storable commodities ⋮ Futures markets, production and diversification of risk ⋮ Expectations equilibria with dispersed forecasts
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