In this paper we study deviations from the standard textbook no-arbitrage relationship of 14 index futures from Asia, Europe, and North America between 2001 and 2012. We find strong empirical evidence that such deviations are pervasive across different countries that differ in terms of...

Little is known about the economic sources that may generate the abnormal returns observed in put index options. We show that the learning process followed by investors may be one such source. We develop an equilibrium model under partial information in which a rational Bayesian learner prices...

Little is known about the economic sources that may generate the abnormal returns observed in put index options. We show that the learning process followed by investors may be one such source. We develop an equilibrium model under partial information in which a rational Bayesian learner prices...