Date of this Version
Journal of Futures Markets
The positions of hedgers and speculators are correlated with returns in a number of futures markets, but there is much debate as to the interpretation of such a relationship—whether it reflects private information, liquidity, or trend-chasing behavior. This paper studies the relationship between positioning of hedgers and speculators and returns in equity futures markets. I propose a novel test of the private information hypothesis: analyzing the effect of public announcements about futures positions on prices, using high-frequency data in short windows around the announcements. I find that the revelation of speculators' positions is informative to investors more broadly, supporting the private information view.
This is the peer reviewed version of the following article, which has been published in final form at http://dx.doi.org/10.1002/fut.20509. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving.
Schwarz, K. (2012). Are Speculators Informed?. Journal of Futures Markets, 32 (1), 1-23. http://dx.doi.org/10.1002/fut.20509
Date Posted: 27 November 2017
This document has been peer reviewed.