haku: @indexterm Price theory / yhteensä: 201
viite: 43 / 201
| Tekijä: | Kempf, A. |
| Otsikko: | Auswirkungen dynamischer Arbitragestrategien auf den Preiszusammenhang zwischen Kassa- und Futuresmarkt |
| Lehti: | Schmalenbachs Zeitschrift für Betriebswirtschaftliche Forschung
1997 : VOL. 49:7/8, p. 617-643 |
| Asiasana: | ARBITRAGE EQUILIBRIUM ANALYSIS TRANSACTION COSTS PRICE THEORY EMPIRICAL RESEARCH FUTURES MARKETS |
| Kieli: | ger |
| Tiivistelmä: | In the paper, the optimal trading strategy of arbitrageurs and its implications for the relation between spot and futures prices are analysed. The model uses a dynamic equilibrium framework and takes transaction costs into account. The results of the theoretical model imply that the average mispricing is negative. Furthermore, the mispricing should depend on time to maturity and on its behaviour in the past. These implications of the model are tested using intrady data of DAX and DAX futures. The results of the empirical analysis support the hypotheses. Therefore, the model is able to explain characteristics of the mispricing behaviour which are not consistent with the cost-of-carry model. |
SCIMA