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The limits to stock index arbitrage: Examining S&P 500 futures and SPDRS
16 references·6 citing·42 second hop
The limits to stock index arbitrage: Examining S&P 500 futures and SPDRS (2008)The limits to stock index arbitrage: Exam…Intraday Price Formation in U.S. Equity Index Markets (2003)Intraday Price Formation in U…DotCom Mania: The Rise and Fall of Internet Stock Prices (2003)DotCom Mania: The Rise and Fa…Synchronization risk and delayed arbitrage (2002)Synchronization risk and dela…Noise Trading, Costly Arbitrage, and Asset Prices: Evidence from Closed‐end Funds (2002)Noise Trading, Costly Arbitra…Price discovery and volatility spillovers in the DJIA index and futures markets (1999)Price discovery and volatilit…Trading costs and the relative rates of price discovery in stock, futures, and option markets (1996)Trading costs and the relativ…Costly Arbitrage: Evidence from Closed-End Funds (1996)Costly Arbitrage: Evidence fr…The Limits of Arbitrage (1995)The Limits of ArbitrageOne Security, Many Markets: Determining the Contributions to Price Discovery (1995)One Security, Many Markets: D…A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market (1992)A Further Analysis of the Lea…Investor Sentiment and the Closed‐End Fund Puzzle (1991)Investor Sentiment and the Cl…Investor Sentiment and the Closed-End Fund Puzzle (1991)Investor Sentiment and the Cl…Intraday Volatility in the Stock Index and Stock Index Futures Markets (1991)Intraday Volatility in the St…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices (1988)Index-Futures Arbitrage and t…The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index (1987)The Temporal Price Relationsh…Does ETF trading affect the efficiency of the underlying index? (2017)Does ETF trading affect the e…Exchange Traded Funds (ETFs) (2016)Exchange Traded Funds (ETFs)A Dynamic Equilibrium Model of ETFs (2016)A Dynamic Equilibrium Model o…Market uncertainty, expected volatility and the mispricing of S&P 500 index futures (2015)Market uncertainty, expected …A Dynamic Equilibrium Model of ETFs (2015)A Dynamic Equilibrium Model o…Has the introduction of S&P 500 ETF options led to improvements in price discovery of SPDRs? (2011)Has the introduction of S&P 5…The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Economic Forces and the Stock Market (1986)Dividend yields and expected stock returns (1988)Herding and Feedback Trading by Institutional and Individual Investors (1999)Retail Investor Sentiment and Return Comovements (2006)Does Academic Research Destroy Stock Return Predictability? (2015)Expected stock returns and volatility (1987)The Relation Between Price Changes and Trading Volume: A Survey (1987)A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Trading in Stock Index Futures (1991)A model of investor sentiment /CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Market Liquidity and Funding Liquidity (2008)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Cointegration and Tests of Present Value Models (1987)Inferring Trade Direction from Intraday Data (1991)Market microstructure: A survey (2000)An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)Realized Variance and Market Microstructure Noise (2006)The General Theory of Employment, Interest and Money. (1936)Anomalies and Market Efficiency (2002)Chapter 15 Anomalies and market efficiency (2003)Learning by Trading (2009)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Prospect theory: An analysis of decision under risk (1988)Up Close and Personal: Investor Sophistication and the Disposition Effect (2006)Dumb money: Mutual fund flows and the cross-section of stock returns (2008)Housing supply and housing bubbles (2008)Investor psychology in capital markets: evidence and policy implications (2002)Idiosyncratic Return Volatility, Cash Flows, and Product Market Competition (2008)Religious beliefs, gambling attitudes, and financial market outcomes (2011)The Equity Share in New Issues and Aggregate Stock Returns (2000)Sports Sentiment and Stock Returns (2007)Individual Investor Trading and Stock Returns (2008)
this work references cited by second hop

References

  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 1991Investor Sentiment and the Closed-End Fund Puzzle1,508 cited
  • 1991Investor Sentiment and the Closed‐End Fund Puzzle1,284 cited
  • 2003DotCom Mania: The Rise and Fall of Internet Stock Prices916 cited
  • 1996Costly Arbitrage: Evidence from Closed-End Funds801 cited
  • 1992A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market635 cited
  • 2002Synchronization risk and delayed arbitrage551 cited
  • 1987The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index503 cited
  • 2003Intraday Price Formation in U.S. Equity Index Markets502 cited
  • 1991Intraday Volatility in the Stock Index and Stock Index Futures Markets440 cited
  • 1996Trading costs and the relative rates of price discovery in stock, futures, and option markets424 cited
  • 1988Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices350 cited
  • 1999Price discovery and volatility spillovers in the DJIA index and futures markets

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284 cited
  • 2002Noise Trading, Costly Arbitrage, and Asset Prices: Evidence from Closed‐end Funds236 cited
  • Cited by

    • 2016A Dynamic Equilibrium Model of ETFs46 cited
    • 2016Exchange Traded Funds (ETFs)36 cited
    • 2011Has the introduction of S&P 500 ETF options led to improvements in price discovery of SPDRs?32 cited
    • 2017Does ETF trading affect the efficiency of the underlying index?31 cited
    • 2015Market uncertainty, expected volatility and the mispricing of S&P 500 index futures27 cited
    • 2015A Dynamic Equilibrium Model of ETFs24 cited