Эксоцман
на главную поиск contacts
Финансовая экономика - это область теоретико-прикладных знаний о законах функционирования финансовых потоков и отношений между всеми субъектами экономической системы... (подробнее...)

Review of Financial Studies

Выпуски:
Опубликовано на портале: 03-11-2007
Dong-Hyun Ahn, Jacob Boudoukh, Matthew Richardson, Robert Whitelaw Review of Financial Studies. 2002.  Vol. 15. No. 2. P. 655-689. 
We investigate the relation between returns on stock indices and their corresponding futures contracts to evaluate potential explanations for the pervasive yet anomalous evidence of positive, short-horizon portfolio antocorrelations. Using a simple theoretical framework, we generate empirical implications for both microstructure and partial adjustment models. The major findings are (i) return autocorrelations of indices are generally positive even though futures contracts have autocorrelations close to zero, and (ii) these autocorrelation differences are maintained under conditions favorable for spot-futures arbitrage and are most prevalent during low-volume periods. These results point toward microstructure-based explanations and away from explanations based on behavioral models.
ресурс содержит полный текст, либо отрывок из него