The Implied Futures Financing Rate

We explore the cost of implicit leverage associated with an S&P 500 Index futures contract and derive an implied financing rate. While this implicit financing rate has often been attractive relative to market rates on explicit financing, the relationship between the implicit and explicit financing rates has been volatile and varied considerably based on legal and economic regimes

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Year of publication:	2017
Authors:	Gunther, Nicholas
Other Persons:	Anderson, Robert M. (contributor) ; Goldberg, Lisa R. (contributor)
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Derivat \| Derivative

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Extent:	1 Online-Ressource (57 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 29, 2016 erstellt
Other identifiers:	10.2139/ssrn.2877475 [DOI]
Classification:	G01 - Financial Crises ; G32 - Financing Policy; Capital and Ownership Structure ; G12 - Asset Pricing ; G18 - Government Policy and Regulation ; G23 - Pension Funds; Other Private Financial Institutions ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012967251