TAXES AND THE PRICING OF STOCK INDEX FUTURES - EMPIRICAL RESULTS

被引:27
|
作者
CORNELL, B
机构
关键词
D O I
10.1002/fut.3990050109
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:89 / 101
页数:13
相关论文
共 50 条
  • [1] TAXES AND THE PRICING OF STOCK INDEX FUTURES
    CORNELL, B
    FRENCH, KR
    [J]. JOURNAL OF FINANCE, 1983, 38 (03): : 675 - 694
  • [2] AN EMPIRICAL-EXAMINATION OF COMPOSITE STOCK INDEX FUTURES PRICING
    SAUNDERS, EM
    MAHAJAN, A
    [J]. JOURNAL OF FUTURES MARKETS, 1988, 8 (02) : 211 - 228
  • [3] Empirical Analysis of CSI 300 Stock Index Futures Pricing
    Yuan, Zhihui
    [J]. PROCEEDINGS OF CHINA-CANADA WORKSHOP ON FINANCIAL ENGINEERING AND ENTERPRISE RISK MANAGEMENT 2010, 2010, : 302 - 305
  • [4] ON THE PRICING OF STOCK INDEX FUTURES
    MODEST, DM
    [J]. JOURNAL OF PORTFOLIO MANAGEMENT, 1984, 10 (04): : 51 - 57
  • [5] THE PRICING OF STOCK INDEX FUTURES
    CORNELL, B
    FRENCH, KR
    [J]. JOURNAL OF FUTURES MARKETS, 1983, 3 (01) : 1 - 14
  • [6] Pricing stock index futures with sentiments
    Xie, Yutang
    Peng, Huan
    Feng, Ting
    [J]. FINANCE RESEARCH LETTERS, 2024, 61
  • [7] THE PRICING AND PERFORMANCE OF STOCK INDEX FUTURES SPREADS
    BILLINGSLEY, RS
    CHANCE, DM
    [J]. JOURNAL OF FUTURES MARKETS, 1988, 8 (03) : 303 - 318
  • [8] Price expectation and the pricing of stock index futures
    Hsu H.
    Wang J.
    [J]. Review of Quantitative Finance and Accounting, 2004, 23 (2) : 167 - 184
  • [9] Tax Effects on the Pricing of Australian Stock Index Futures
    Cummings, James Richard
    Frino, Alex
    [J]. AUSTRALIAN JOURNAL OF MANAGEMENT, 2008, 33 (02) : 391 - 406
  • [10] The pricing of stock index futures spreads at contract expiration
    Frino, A
    McKenzie, MD
    [J]. JOURNAL OF FUTURES MARKETS, 2002, 22 (05) : 451 - 469