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- W3208524453 abstract "We develop two models for index futures arbitrage that take the financing constraints faced by real-world arbitrageurs into account. Our models predict that the price of an index futures contract and the value of its underlying index should deviate further from their theoretical cost-of-carry relationship when (a) the contract has a longtime to go before expiry, and (b) volatility is high. The fact that these predictions enjoy considerable empirical support highlights the importance of financing constraints for explaining index futures mispricing." @default.
- W3208524453 created "2021-11-08" @default.
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- W3208524453 date "2021-01-01" @default.
- W3208524453 modified "2023-09-24" @default.
- W3208524453 title "Financially Constrained Index Futures Arbitrage" @default.
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- W3208524453 doi "https://doi.org/10.2139/ssrn.3895655" @default.
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