Miller, Merton H; Muthuswamy, Jayaram; Whaley, Robert E - In: Journal of Finance 49 (1994) 2, pp. 479-513
Mean reversion in stock index basis changes has been presumed to be driven by the trading activity of stock index arbitragers. The authors propose here instead that the observed negative autocorrelation in basis changes is mainly a statistical illusion, arising because many stocks in the index...