I thank the editor, Robert Webb, and an anonymous referee for their thoughtful suggestions. I also thank Andrew Ang, Larry Glosten, and Charles Jones for their very helpful comments on this work and Columbia Business School PhD seminar participants for valuable feedback. I am grateful to Martin Millar from Jam Strategy Trading for CFTC positioning data release dates and to the Department of Economics and Finance at Columbia Business School for funding the futures data used in this paper. All errors and omissions are my own.
Are speculators informed?†
Version of Record online: 17 MAR 2011
© 2011 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 32, Issue 1, pages 1–23, January 2012
How to Cite
Schwarz, K. (2012), Are speculators informed?. J. Fut. Mark., 32: 1–23. doi: 10.1002/fut.20509
Additional Supporting Information may be found in the online version of this article.
- Issue online: 4 NOV 2011
- Version of Record online: 17 MAR 2011
- Manuscript Accepted: DEC 2010
- Manuscript Received: AUG 2010
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. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark