This article tests a theoretical model of the basis and open interest of stock index futures. The model is based on the differences between stock and futures in terms of investors' ability to customize stock portfolios and liquidity. Empirical evidence confirms the model's prediction that...

The authors examine differences in structural characteristics that lead firms of different sizes to react differently to the same economic news. They find that a small firm portfolio contains a large proportion of marginal firms--firms with low production efficiency and high financial leverage....

This paper studies the relation between changes in financial investment opportunities and changes in the macroeconomy. States variables, such as the lagged production growth rate, the default premium, the term premium, the short-term interest rate, and the market dividend-price ratio, are shown...