✦ LIBER ✦

A note on the role of futures indivisibility: Reconciling the theoretical literature

✍ Scribed by Michael A. Polakoff

Publisher: John Wiley and Sons
Year: 1991
Tongue: English
Weight: 290 KB
Volume: 11
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990110112

No coin nor oath required. For personal study only.

✦ Synopsis

Reconciling the Theoretical Literature

Michael A. Polakoff 'Additionally, segmented markets (Branch (1978)), a default risk premium in the futures contract (Lang and Rasche (1978)), asymmetric execution costs (Allen and Thurston (1988) Cappoza and Cornell (1979)), and differential liquidity and default risk premia (Kamara (1988)) have been cited in empirical studies as contributors to significant Treasury-bill forward-futures price differentials.

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