Access the full text.
Sign up today, get DeepDyve free for 14 days.
K. French (1983)
A comparison of futures and forward pricesJournal of Financial Economics, 12
Steven Manaster (1986)
Implicit delivery options and optimal delivery strategies for financial futures contractsJournal of Financial Economics, 16
Bradford Cornell, Marc Reinganum (1981)
Forward and Futures Prices: Evidence from the Foreign Exchange MarketsJournal of Finance, 36
Footnotes 1 . Because of the large transactions costs involved in delivering all of the stocks in the index in exactly the right proportions, stock index futures actually use cash settlement rather than physical delivery. If the index is above the futures price at maturity, the buyer receives the difference from the seller. If the index is below the futures price, the seller receives the difference. Cash settlement is equivalent to having the seller “deliver” the maturity value of the index, and having the buyer pay the futures price. 2 . Note that 5% is not an annualized interest rate. An investor who deposits $1.00 in the bank in March receives $1.05 in September. 3 . Again, 7% is not an annualized interest rate. An investor who puts $1.00 in nine month bills in March receives $107 in December, Treasury bill spot and futures prices are quoted on an annualized discount basis. For example, suppose the actual price on a 90 day bill is $98.00 (per $100.00 face value). The annualized discount is ($100.00–98.00) × 360/90 =$8.00, and the quoted price is $100.00–8.00 =$92.00. The annualized discount complicates the relation between the quoted spot and futures prices, so
Journal of Applied Corporate Finance – Wiley
Published: Jan 1, 1989
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.