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Rev Fin 1992; 5:637-667
© 1992 the Society for Financial Studies

Article

Systematic risk, hedging pressure, and risk premiums in futures markets

H Bessembinder
College of Business, Arizona State University, Tempe, AZ 85287-3906, USA

Abstract

I examine the uniformity of risk pricing in futures and asset markets. Tests against a general alternative do not reflect complete integration of futures and asset markets. As predicted, estimates of the 'zero-beta' rate for futures are close to zero, and premiums for systematic risk do not differ significantly across assets and futures. There is, however, evidence consistent with a specific alternative model presented by Hirshleifer (1988). Returns in foreign currency and agricultural futures vary with the net holdings of hedgers, after controlling for systematic risk. These results imply a degree of market segmentation and support hedging pressure as a determinant of futures premiums.


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