Abstract
The study advances an alternative approach to examining the Samuelson hypothesis. Using data of 12 commodity futures traded on three major futures exchanges in U.S., we find that about 55% of the agricultural futures contracts exhibit the Samuelson effect, about 30% for energy futures contracts, but only about 20% for metal and financial futures contracts. These percentage numbers actually indicate the probabilities that an individual futures contract in the respective futures markets will exhibit the Samuelson effect. The proposed approach also enables us to take the unprecedented step of directly comparing explanatory power of the state variable hypothesis of Anderson and Danthine (1983) and the mean reversion hypothesis of Bessembinder et al. (1996) over the Samuelson effect. The result overall suggests that the mean reversion hypothesis can better explain the Samuelson effect.
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