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Optimal hedging under departures from the cost-of-carry valuation: Evidence from the Spanish stock index futures market

โœ Scribed by Juan A Lafuente; Alfonso Novales

Book ID
117528454
Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
248 KB
Volume
27
Category
Article
ISSN
0378-4266

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## Abstract This study examines the returns, relative to the S&P 500, on cash indices and futures tracking smaller stocks around the turn of the year. While we control for volatility clustering, return autocorrelation in small stock indices, and other calendar effects, our main focus is the evoluti