A Comparison of Forward and Futures Prices of an Interest Rate‐Sensitive Financial Asset

A Comparison of Forward and Futures Prices of an Interest Rate‐Sensitive Financial Asset

  • LISA MEULBROEK

Article first published online: 30th April 2012 DOI: 10.1111/j.1540-6261.1992.tb03991.x

Abstract


This paper focuses on contractual distinctions as an explanation for the price divergence between futures and forward contracts. Specifically, it investigates the effect of marking‐to‐market on the observed price differences using the pricing model described in Cox, Ingersoll, and Ross (CIR) (1981, , 321–346). Using previously unavailable data, this paper employs Eurodollars, an interest rate‐sensitive financial asset, to test the CIR model. Unlike prior empirical studies, test results support both the weak prediction concerning the sign of the average price difference and the stronger prediction that specific covariances explain the variation in the price differences.

Sign in to access the full article.

Related articles


Front Matter

Article first published online: 30th December 2015 / DOI: 10.1111/j.1540-6261.1992.tb00473.x

Read Article

Back Matter

Article first published online: 30th December 2015 / DOI: 10.1111/j.1540-6261.1992.tb00474.x

Read Article

Industrial Structure and the Comparative Behavior of International Stock Market Indices

  • RICHARD ROLL

Article first published online: 30th April 2012 / DOI: 10.1111/j.1540-6261.1992.tb03977.x

Read Article

An Option‐Theoretic Approach to the Valuation of Dividend Reinvestment and Voluntary Purchase Plans

  • ROBERT M. DAMMON
  • CHESTER S. SPATT

Article first published online: 30th April 2012 / DOI: 10.1111/j.1540-6261.1992.tb03988.x

Read Article

Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration

  • JOHN Y. CAMPBELL
  • YASUSHI HAMAO

Article first published online: 30th April 2012 / DOI: 10.1111/j.1540-6261.1992.tb03978.x

Read Article

Bankruptcy and Insider Trading: Differences Between Exchange‐Listed and OTC Firms

  • THOMAS GOSNELL
  • ARTHUR J. KEOWN
  • JOHN M. PINKERTON

Article first published online: 30th April 2012 / DOI: 10.1111/j.1540-6261.1992.tb03989.x

Read Article

Are you an Author?


Please read our submission requirements and find out how to submit your paper to the Journal of Finance

Submit a paper