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- W2907367679 abstract "This paper examines the pricing dynamics between single stock futures (SSF) and the underlying spot security. The sample period in this analysis allows us to examine this relationship across a market cycle and regulation changes that would potentially impact this relationship. We find that the spot market leads the SSF market and contributes roughly 70% to price discovery. Unlike what has been documented in prior research, this relationship holds during significant periods of market distress. However, we find that the pricing contribution deteriorated in 2010, and this state persisted through the end of our sample period. We posit that this is the result of a change in regulation SHO, which amended existing restrictions on short selling. Specifically, this change likely increased the rebate rate charged by brokers for locating the stock to be shorted and subsequently caused SSF in our sample to trade in backwardation, thus disrupting the pricing relationship previously found." @default.
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- W2907367679 date "2018-01-01" @default.
- W2907367679 modified "2023-09-23" @default.
- W2907367679 title "Pricing Dynamics between Single Stock Futures and the Underlying Spot Security" @default.
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