Arbitrage in Stock Index Futures

A second course in stochastic processes

1981 • 2,967 citations

The relation between forward prices and futures prices

1981 • 770 citations

Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices

1988 • 368 citations

Hedging Performance and Basis Risk in Stock Index Futures

1984 • 339 citations

Program Trading and Expiration-Day Effects

1987 • 210 citations

The relationship between spot and futures prices in stock index futures markets: Some preliminary evidence

1983 • 183 citations

A comparison of futures and forward prices

1983 • 169 citations

Hedging with stock index futures: Theory and application in a new market

1985 • 101 citations

Explaining the Early Discounts on Stock Index Futures: The Case for Disequilibrium

1984 • 70 citations

Taxes and the pricing of stock index futures: Empirical results

1985 • 46 citations

A Passive Futures Strategy that Outperforms Active Management

1986 • 10 citations