An empirical examination of composite st
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Edward M. Saunders Jr.; Arvind Mahajan
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Article
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1988
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John Wiley and Sons
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English
β 1009 KB
T composite stock index futures prices to associated normative prices as specified by an arbitrage argument while controlling for significant market imperfections. This research contrasts with earlier empirical works in several ways. First, the arbitrage argument is maintained despite the assumption