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Cited by 538

The DOI matches its Crossref record; 37 of the 37 references it cites were found in a registry or an index.

Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets

Bessembinder, Hendrik·1992·Review of Financial Studies
DOI 10.1093/rfs/5.4.637
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Abstract

I examine the uniformity of risk pricing in futures and asset markets. Tests against a general alternative do not reject 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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Metadata

Authors
Bessembinder, H.
Venue
Review of Financial Studies
Publisher
Oxford University Press (OUP)
Published
1992-10
Volume
5
Issue
4
Pages
637-667
ISSN
  • 0893-9454 (ISSN-L)
  • 1465-7368
DOI
10.1093/rfs/5.4.637
OpenAlex
W2113778701
Cited by
538
References
37
FWCI
4.41
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets. https://app.cochat.ai/papers/10.1093/rfs/5.4.637
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Bessembinder, H. (1992). Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets. Review of Financial Studies. https://doi.org/10.1093/rfs/5.4.637

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.