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Futures Trading, Rational Expectations, and the Efficient Markets Hypothesis
6 references·16 citing·48 second hop
Futures Trading, Rational Expectations, and the Efficient Markets Hypothesis (1981)Futures Trading, Rational Expectations, a…Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices (1979)Rational Expectations Equilib…Further results on the informational efficiency of competitive stock markets (1978)Further results on the inform…The Existence of Futures Markets, Noisy Rational Expectations and Informational Externalities (1977)The Existence of Futures Mark…ON THE EFFICIENCY OF COMPETITIVE STOCK MARKETS WHERE TRADES HAVE DIVERSE INFORMATION (1976)ON THE EFFICIENCY OF COMPETIT…Proof That Properly Discounted Present Values of Assets Vibrate Randomly (1973)Proof That Properly Discounte…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Commodity Financialization and Information Transmission (2022)Commodity Financialization an…The Economic Impact of Index Investing (2018)The Economic Impact of Index …Informational Frictions and Commodity Markets (2015)Informational Frictions and C…Commodity Booms and Busts (2010)Commodity Booms and BustsNews Events, Information Acquisition, and Serial Correlation (2002)News Events, Information Acqu…Does the introduction of stock index futures effectively reduce stock market volatility? Is the 'futures effect' immediate? Evidence from the Italian stock exchange using GARCH (2002)Does the introduction of stoc…Stock Price Volatility in a Multiple Security Overlapping Generations Model (1998)Stock Price Volatility in a M…The role of futures trading activity in exchange rate volatility (1996)The role of futures trading a…On Intraday Risk Premia (1995)On Intraday Risk PremiaThe international monetary fund and the developing countries: A critical evaluation (1989)The international monetary fu…A FURTHER EXAMINATION OF STOCK PRICE CHANGES AND TRANSACTION VOLUME (1985)A FURTHER EXAMINATION OF STOC…Understanding futures markets (1984)Understanding futures marketsPrice Volatility of Storable Commodities under Rational Expectations in Spot and Futures Markets (1983)Price Volatility of Storable …Hedger Diversity in Futures Markets (1983)Hedger Diversity in Futures M…AN ANALYSIS OF THE ROLE OF FUTURES PRICES, CASH PRICES AND GOVERNMENT PROGRAMS IN ACREAGE RESPONSE (1983)AN ANALYSIS OF THE ROLE OF FU…Expectations Models of Asset Prices: A Survey of Theory (1982)Expectations Models of Asset …Brownian Motion in the Stock Market (1959)Rational Expectations and the Dynamic Structure of Macroeconomic Models:A Critical Review (1975)Price formation and the appraisal function in real estate markets (1991)Physics and financial economics (1776–2014): puzzles, Ising and agent-based models (2014)Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums (1973)The Supply of Storage (1976)Information, futures prices, and stabilizing speculation (1978)Risk, Futures Pricing, and the Organization of Production in Commodity Markets (1988)Softening competition through forward trading (2003)Limits to Arbitrage and Hedging: Evidence from Commodity Markets (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Asset Valuation in an Experimental Market (1982)Elections with limited information: A fulfilled expectations model using contemporaneous poll and endorsement data as information sources (1985)Rational panics and stock market crashes (2003)Expectations and the neutrality of money (1972)The Role of Securities in the Optimal Allocation of Risk-bearing (1973)The Private and Social Value of Information and the Reward to Inventive Activity (1978)An Introduction to the Theory of Rational Expectations Under Asymmetric Information (1981)Resource Allocation Under Asymmetric Information (1981)Informational Externalities and Welfare-Reducing Speculation (1987)On the Impossibility of Informationally Efficient Markets (1980)Oil and the Macroeconomy since World War II (1983)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Sentiments, financial markets, and macroeconomic fluctuations (2016)When Transparency Improves, Must Prices Reflect Fundamentals Better? (2018)Information and Competitive Price Systems (1976)Forecasting the Forecasts of Others (1983)Methodological Individualism and Social Knowledge (1994)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Rational Expectations and the Theory of Price Movements (1961)Expectations and Exchange Rate Dynamics (1976)Increasing Returns and Long-Run Growth (1986)Global Biofuels: Key to the Puzzle of Grain Market Behavior (2014)The impact of speculation on commodity futures markets – A review of the findings of 100 empirical studies (2016)What drives commodity price booms and busts? (2018)Transmission of Volatility between Stock Markets (1990)Herd on the Street: Informational Inefficiencies in a Market with Short‐Term Speculation (1992)The Use of Knowledge in Society (1996)The Adaptive Markets Hypothesis (2004)Debt, Liquidity Constraints, and Corporate Investment: Evidence from Panel Data (1992)An update on speculation and financialization in commodity markets (2018)Financialization and Commodity Markets Serial Dependence (2023)Financialization of commodity markets ten years later (2023)
this work references cited by second hop

References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1976ON THE EFFICIENCY OF COMPETITIVE STOCK MARKETS WHERE TRADES HAVE DIVERSE INFORMATION1,438 cited
  • 1979Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices607 cited
  • 1977The Existence of Futures Markets, Noisy Rational Expectations and Informational Externalities323 cited
  • 1973Proof That Properly Discounted Present Values of Assets Vibrate Randomly243 cited
  • 1978Further results on the informational efficiency of competitive stock markets198 cited

Cited by

  • 2015Informational Frictions and Commodity Markets242 cited
  • 2010Commodity Booms and Busts177 cited
  • 2022Commodity Financialization and Information Transmission143 cited
  • 1983Hedger Diversity in Futures Markets139 cited
  • 2002Does the introduction of stock index futures effectively reduce stock market volatility? Is the 'futures effect' immediate? Evidence from the Italian stock exchange using GARCH123 cited
  • 1989The international monetary fund and the developing countries: A critical evaluation118 cited
  • 1998Stock Price Volatility in a Multiple Security Overlapping Generations Model113 cited
  • 1982Expectations Models of Asset Prices: A Survey of Theory

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112 cited
  • 1985A FURTHER EXAMINATION OF STOCK PRICE CHANGES AND TRANSACTION VOLUME108 cited
  • 2018The Economic Impact of Index Investing94 cited
  • 1996The role of futures trading activity in exchange rate volatility94 cited
  • 2002News Events, Information Acquisition, and Serial Correlation91 cited
  • 1995On Intraday Risk Premia90 cited
  • 1983Price Volatility of Storable Commodities under Rational Expectations in Spot and Futures Markets90 cited
  • 1983AN ANALYSIS OF THE ROLE OF FUTURES PRICES, CASH PRICES AND GOVERNMENT PROGRAMS IN ACREAGE RESPONSE89 cited
  • 1984Understanding futures markets88 cited