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Overreaction in Futures Markets Robert Frederick Baur Iowa State University Iowa State University Capstones, Theses and Retrospective Theses and Dissertations Dissertations 1992 Overreaction in futures markets Robert Frederick Baur Iowa State University Follow this and additional works at: https://lib.dr.iastate.edu/rtd Part of the Agricultural and Resource Economics Commons, Agricultural Economics Commons, Finance Commons, and the Finance and Financial Management Commons Recommended Citation Baur, Robert Frederick, "Overreaction in futures markets " (1992). Retrospective Theses and Dissertations. 9974. https://lib.dr.iastate.edu/rtd/9974 This Dissertation is brought to you for free and open access by the Iowa State University Capstones, Theses and Dissertations at Iowa State University Digital Repository. It has been accepted for inclusion in Retrospective Theses and Dissertations by an authorized administrator of Iowa State University Digital Repository. For more information, please contact [email protected]. INFORMATION TO USERS This manuscript has been reproduced from the microfibn master. UMI films the text directly from the original or copy submitted. Thus, some thesis and dissertation copies are in typewriter face, while others may be from any type of computer printer. The quality of this reproduction is dependent upon the quality of the copy submitted. Broken or indistinct print, colored or poor quality illustrations and photographs, print bleedthrough, substandard margins, and improper alignment can adversely affect reproduction. In the unlikely event that the author did not send UMI a complete manuscript and there are missing pages, these will be noted. Also, if unauthorized copyright material had to be removed, a note will indicate the deletion. Oversize materials (e.g., maps, drawings, charts) are reproduced by sectioning the original, beginning at the upper left-hand corner and continuing from left to right in equal sections with small overlaps. Each original is also photographed in one exposure and is included in reduced form at the back of the book. Photographs included in the original manuscript have been reproduced xerographically in this copy. Higher quality 6" x 9" black and white photographic prints are available for any photographs or illustrations appearing in this copy for an additional charge. Contact UMI directly to order. University Microfilms International . A Bell & Howell Information Company 300 North Zeeb Road, Ann Arbor, Ml 48106-1346 USA 313/761-4700 800/521-0600 Order Number 9234789 Overreaction in futures markets Baur, Robert Frederick, Ph.D. Iowa State University, 1992 Copyright ©1992 by Baur, Robert Frederick. All rights reserved. UMI 300 N. Zeeb Rd. Ann Arbor, MI 48106 Overreaction in futures markets by Robert Frederick Baur A Dissertation Submitted to the Graduate Faculty in Partial Fulfillment of the Requirements for the Degree of DOCTOR OF PHILOSOPHY Major: Economics Approved: Signature was redacted for privacy. In Charge^of Major Work Signature was redacted for privacy. For the Major Department Signature was redacted for privacy. For the Graduate College Iowa State University Ames, Iowa 1992 Copyright © Robert Frederick Baur, 1992. All rights reserved. ii TABLE OF CONTENTS Page CHAPTER I: INTRODUCTION TO MARKET EFFICIENCY 1 Its Beginnings 3 CHAPTER II: EFFICIENT MARKET ANOMALIES 6 Excess Volatility 9 Rationality in Decision-Making 10 Overreaction 12 Mean Reversion 14 Other Evidence of Inefficiency 15 Evidence against Inefficiency 18 CHAPTER III: FUTURES MARKET EFFICIENCY AND ANOMALIES 22 CHAPTER IV: METHODOLOGY 28 Data 29 Methodology 30 Special Considerations 33 CHAPTER V: RISK 36 The Capital Asset Pricing Model 35 Normal Backwardation and Risk Premiums 38 The Potential for Risk Premiums 40 CHAPTER VI: EVIDENCE FOR OVERREACTION 42 Empirical Results 43 Six month rank period 43 Twelve month rank period 45 Fifteen month rank period 45 Longer holding periods 46 iii Testing for Robustness 47 Other rank dates and sugar 47 Removal of spread portfolios 48 Measuring Portfolio Risk 50 Counting winners and losers 51 CHAPTER VII: EVIDENCE FOR RISK PREMIUMS 54 CHAPTER VII; CONCLUSIONS 57 Summary of Major Goals and Findings 57 Persistence 58 Risk Premium 59 Explanations for Phenomena 59 Limitations of this Research 60 Directions for Future Research 62 Refining the strategy 62 Other areas of research 63 BIBLIOGRAPHY 65 APPENDIX A: LIST OF FUTURES, SPREADS AND FUTURES EXCHANGES 75 APPENDIX B; TABLES OF RESULTS 80 APPENDIX C: GRAPHS OF RESULTS 120 iv ACKNOWLEDGMENTS For being the biggest help to me that anyone can be, for putting up with hectic schedules that going to school and running a business at the same time imply and for picking up the loose ends of my life and keeping me on track, I thank my wife, Caroline. I also thank my children, Angela and Susan, for their love and patience. I must thank my father, who passed away many years ago, for giving me the Iowa farm work ethic even though I often didn't want it. I thank Dr. Louis M. Thompson, retired Associate Dean of the College of Agriculture at Iowa State University, for instilling in me a fascination for markets and price movements. I sincerely want to thank my major professor. Dr. Barry Falk, for being patient with my interruptions and offering suggestions and encouragement throughout graduate school. I am especially grateful to the remaining members of my preliminary graduate committee, Drs. P. Orazem, G. Moschini, L. Tesfatsion, R. Chhikara.and G. Koppenhaver, for their helpful guidance and comments. They have made graduate school enjoyable. 1 CHAPTER I: INTRODUCTION TO MARKET EFFICIENCY I believe there is no other proposition in economics which has more solid empirical evidence supporting it than the Efficient Market Hypothesis... In the literature of finance, accounting, and the economics of uncertainty, the Efficient Market Hypothesis is accepted as a fact of life. (Jensen, 1978) The efficient-market hypothesis is the most remarkable error in the history of economics. (Shiller, 1987) Whenever prices of assets or commodities change dramatically, the fortunes of some market participants are made while the fortunes of others are lost. For centuries the lure of these changes in wealth have driven some people, like gamblers to a roulette wheel, to try their hand at predicting the next price change hoping to profit from it. From astrology to tea leaves, from the value analysis of the 1930s to the candlestick charting of today, many methods of price forecasting have tried to unlock the secrets of the future. Can price forecasts be used as the key to limitless wealth and abundance? The theory of efficient markets answers a resounding "No." The Efficient Market Hypothesis (EMH) holds that capital asset prices fully and correctly reflect all relevant public information. Given appropriate assumptions^, when prices "fully reflect" relevant information, all asset expected returns will be equal. Prices "correctly reflect" information if agent expectations are rational. This definition is embodied in the following mathematical model: ^Typical assumptions include: l)a large number of homogeneous, profit- maximizing agents with rational expectations, 2)all information is costlessly available and arrives at the market randomly, and 3)agents rapidly adjust prices to reflect new information. 2 (1.1) = r with r a constant, E the expectations operator, an information set available at the start of period t, and t:he return to asset i realized at the end of period t. Return is defined as: (1.2) V . t with. ^ the price of asset i at the beginning of period t, and the dividend paid by asset i at the end of period t. Recursive solution techniques for after substituting (1.2) into (1.1) together with the transversality condition that price grows at a rate less than 1+r^, yield the familiar model of price as the discounted sum of future dividends; (1.3) P, = ^ B where B is the discount factor l/(l+r). For an asset with no dividends, the measure of return would just be the capital gain: (1.2') - 1 Solving recursively, one obtains: (1.3') 2This assumption rules out speculative bubbles. Bubbles are inconsistent with an efficient market. 3 Its Beginnings Efficient market theory began with the random walk hypothesis developed in the 1950s. In a study of stock market advice from twenty insurance companies, sixteen financial services, twenty-five publications, and one highly regarded financial editor, Cowles (1933) found investment results no better than with random portfolios. In a similar vein, Working (1934) noted that a time series of successive changes in wheat prices was indistinguishable from a random-difference series. While these early researchers hinted at problems with the current investment theory of fundamental and technical analysis, Kendall (1953) had the first major statistical study of serial correlation. He failed to find significant serial correlation in price changes of selected British stocks and U.S. commodities, Kendall concluded that successive price changes were independent and random behavior was vastly more important to price than systematic effects. While much of the early random walk research focused on commodity prices, Fama (1965) studied stock price behavior. Although the data series were rather short, Fama found that first-differences of daily stock prices in the Dow-Jones Industrial Average looked like a sequence of drawings of independent, identically distributed random variables. Price changes mimicked a random walk. Fama (1965, page 90) first used the phrase "efficient market." Fama (1970), LeRoy (1989) and others credit Samuelson (1965) and Mandelbrot (1966) with giving economic content to efficient market theory. The random walk hypothesis (RWH) was an ad hoc approach used to explain the apparently random moves of prices. With a simple agricultural model of 4 weather and prices, Mandelbrot showed how prices could be generated by a martingale process^. The martingale model was considered a substantial improvement in efficient market theory because it can be derived from assumptions of preferences and returns (LeRoy, 1989). Fama et al, (1969) had one of the first empirical studies to examine how information was reflected into stock prices.
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