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There has long been substantial interest in understanding the relative pricing of forward and futures contracts. This has led to the development of two standard theories of forward and futures pricing, namely, the Cost-of-Carry and the Risk Premium (or Unbiased Expectations) hypotheses. These studies have modelled the relationship between spot and forwardafutures prices either through a no-arbitrage condition or a general equilibrium setting. Relatively few studies in this area have considered the impact of stochastic trends in the data. With the emergence of non-stationarity and cointegration in recent years, more sophisticated models of futuresaforward prices have been specified. This paper surveys the significant contributions made to the literature on the pricing of forwardafutures contracts, and examines recent empirical studies pertaining to the estimation and testing of univariate and systems models of futures pricing.

Recent studies that examine the relationship between stock returns and unexpected earnings may be broadly categorized into two main approaches: the firm-specific approach of Skinner and Sloan (2002) and Lopez and Rees (2001 ), and the market-wide regime shifting behavior of Conrad, Cornell, and Landsman (2002). Although both approaches provide possible explanations for the asymmetric behavior of earnings shocks, no known study has attempted to establish which approach has stronger empirical support. In this paper, using industry sector results, we generally find stronger empirical support for the firm-specific approach as being more representative of stock price behavior. 1. We thank an anonymous referee for suggesting this approach to the paper.3. The six industries are chosen according to their division classification in SIC and the avail-4. Conrad, Cornell, and Landsman (2002) face the same challenge in generalizing the individ-ability of sufficient data to perform a statistically meaningful analysis. ual firm's P/E ratio to a market aggregate to proxy the market level.