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ArticleThe pricing of stock index futures

Bradford Cornell1983

Article1983

The pricing of stock index futures

Bradford Cornell · Kenneth R. French

192 citations·0/0 files stored·Journal of Futures Markets

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Financial Markets and Investment Strategies Stochastic processes and financial applications Market Dynamics and Volatility

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References

1981The relation between forward prices and futures prices 1983Capital Market Equilibrium with Personal Tax 1981Forward contracts and futures contracts 1983Taxes and the Pricing of Stock Index Futures

Cited by

1991A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability 1990Stock index futures arbitrage: International evidence 1987Investigation of a lead‐lag relationship between spot stock indices and their futures contracts 1991Stock price volatility: Some evidence from an ARCH model 1990Intraday relationships between volatility in S&P 500 futures prices and volatility in the S&P 500 index 1991The intraday ex post and ex ante profitability of index arbitrage 1993To What Extent did Stock Index Futures Contribute to the October 1987 Stock Market Crash?1995Dax index futures: Mispricing and arbitrage in German markets

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1984The quality option implicit in futures contractsarticle · 4 shared references 2005Investment Analysis and Portfolio Managementarticle · 4 shared references 1983Taxes and the Pricing of Stock Index Futuresarticle · 3 shared references 1991The intraday ex post and ex ante profitability of index arbitragearticle · 3 shared references 1991General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidencearticle · 3 shared references 1985Differences between futures and forward prices: A further investigation of the marking‐to‐market effectsarticle · 3 shared references

Details

Year1983

Typearticle

Published1983-03-01

VenueJournal of Futures Markets

ISSN-L0270-7314

Languageen

Citations192

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1002/fut.3990030102

openalex_workW2054985168

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