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Difference Systems in Financial Futures Markets
4 references·8 citing·36 second hop
Difference Systems in Financial Futures Markets (1982)Difference Systems in Financial Futures M…Tax Reform and Ex-Dividend Day Behavior (1983)Tax Reform and Ex-Dividend Da…The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the Clientele Effect (1982)The Ex-Dividend Day Behavior …The Taxation of Income from Capital. (1970)The Taxation of Income from C…Marginal Stockholder Tax Rates and the Clientele Effect (1970)Marginal Stockholder Tax Rate…A survey on physical delivery versus cash settlement in futures contracts (2004)A survey on physical delivery…Delivery risk and the hedging role of options (2002)Delivery risk and the hedging…The impact of delivery options on futures prices: A survey (1993)The impact of delivery option…An empirical analysis of implicit delivery options in the treasury bond futures contract (1988)An empirical analysis of impl…The Delivery Option on Forward Contracts (1987)The Delivery Option on Forwar…Interest‐Rate Volatility, Basis Risk and Heteroscedasticity in Hedging Mortgages (1987)Interest‐Rate Volatility, Bas…Conversion factor risk and hedging in the treasury‐bond futures market (1984)Conversion factor risk and he…Futures Contracts on Commodities with Multiple Varieties: An Analysis of Premiums and Discounts (1983)Futures Contracts on Commodit…Dividend Policy, Growth, and the Valuation of Shares (1961)Applied Linear Statistical Models. (1975)Measuring security price performance (1980)The Ex-Dividend Day Behavior of Canadian Stock Prices: Tax Changes and Clientele Effects (1984)Taxation, Risk-Taking, and Household Portfolio Behavior (2001)Large Shareholders and Dividends: Evidence from U.S. Tax Reforms (2002)The Hedging Performance of the New Futures Markets (1979)The Hedging Performance of the New Futures Markets: Comment (1980)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Evaluating Multivariate GARCH Models in the Nordic Electricity Markets (2006)Forward and Futures Prices: Evidence from the Foreign Exchange Markets (1981)The relation between forward prices and futures prices (1981)The quality option implicit in futures contracts (1984)Why do expiring futures and cash prices diverge for grain markets? (2010)Asset Pricing with Cohort‐Based Trading in MBS Markets (2022)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Forward contracts and futures contracts (1981)The Pricing of Options and Corporate Liabilities (1973)A New Approach to Consumer Theory (1976)Theory of rational option pricing (2005)Measuring the Term Structure of Interest Rates (1971)Negative option values are possible: The impact of Treasury bond futures on the cash U.S. Treasury market (1997)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)New Evidence That Taxes Affect the Valuation of Dividends (1984)On interpreting security returns during the ex-dividend period (1984)Tax-induced trading around ex-dividend days (1986)The Investment, Financing, and Valuation of the Corporation (1963)The effect of personal taxes and dividends on capital asset prices (1979)A Theory of Dividends Based on Tax Clienteles (2000)Exchange Rates and Fundamentals (2005)Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage (1987)INFLATION AND THE TAXATION OF CAPITAL INCOME IN THE CORPORATE SECTOR (1979)Homeownership in the 1980s and 1990s: aggregate trends and racial gaps (2004)Housing policy and the progressivity of income taxation (2009)
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References

  • 1970Marginal Stockholder Tax Rates and the Clientele Effect892 cited
  • 1982The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the Clientele Effect440 cited
  • 1970The Taxation of Income from Capital.191 cited
  • 1983Tax Reform and Ex-Dividend Day Behavior150 cited

Cited by

  • 1983Futures Contracts on Commodities with Multiple Varieties: An Analysis of Premiums and Discounts71 cited
  • 1993The impact of delivery options on futures prices: A survey41 cited
  • 1987Interest‐Rate Volatility, Basis Risk and Heteroscedasticity in Hedging Mortgages35 cited
  • 1988An empirical analysis of implicit delivery options in the treasury bond futures contract32 cited
  • 1984Conversion factor risk and hedging in the treasury‐bond futures market27 cited
  • 1987The Delivery Option on Forward Contracts27 cited
  • 2004A survey on physical delivery versus cash settlement in futures contracts25 cited
  • 2002Delivery risk and the hedging role of options18 cited

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