Hietala, Pekka; Jokivuolle, Esa; Koskinen, Yrjö - Economics Institute for Research (SIR), … - 2000
The purpose of this paper is to provide an explanation for relative pricing of futures contracts with respect to underlying stocks based on short sales constraints and informational lags between the two markets. In this model stocks and futures are perfect substitutes, except that short sales...