The Information Content of Forward and Futures Prices : Market Expectations and the Price of Risk

摘要: Forward and futures rates are frequently used as measures of market expectations. In this paper we apply standard forecast efficiency tests, some newer exact sign rank to a wide range forward rates, in way test whether these fact rational expectations future actual prices. The that study under common methodology include foreign exchange U.S. interest rate oil natural gas futures. For most, but not all, instruments, find can reject the hypothesis or It is well known give less accurate forecasts than random walk, show also true for rates. We conclude prices generally pure expectations: they heavily affected by price risk.