During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

In this paper we examine the Henriksson-Merton test of market timing and its potential
usefulness in evaluating investment advice. The paper proposes a natural extension of the …

The global value of trading in index futures is about $20 trillion per year and rising and for
many countries the value traded is similar to that traded on their stock markets. This book …

Recent work by Mackinlay and Ramaswamy (1987), Merrick (1987 (a), 1987 (b)), Modest
and Sudereshan (1983), Cornell and French (1983), Figlewski (1984 (a), 1984 (b)), and …

Ex Post and Ex Ante Profitability of Page 1 The Intraday Ex Post and Ex Ante Profitability of
Index Arbitrage Robert C. Klemkosky Jae Ha Lee INTRODUCTION (): of the significant capital …

Persistent underpricing in the Korean stock index futures market is documented and
alternative explanations are examined. No‐arbitrage pricing bands are computed using …

Capital markets are not perfect or frictionless, and arbitrage mechanism cannot be complete,
particularly for index arbitrage. This study constructs a theoretical foundation to explain why …

The pricing of futures contracts has received much attention in the literature, particularly in
regard to stock index futures. Most of these studies generally involve a comparison of traded …

This paper re‐examines and extends stock index futures pricing in Australia. The paper has
two objectives. First, the paper provides a comprehensive examination of stock index futures …

This paper examines the mispricing of Australian stock index futures. Exogenous and
endogenous price volatility is confirmed to have a positive impact on the mispricing spread …