Veröffentlichungen | Abstract

Short Selling, Unwinding, and Mispricing in: The Journal of Futures Markets, Vol. 18 (1998), S. 903-923 Prof. Dr. Alexander Kempf [University of Cologne] Abstract: This paper highlights the impact of short selling restrictions and early unwinding opportunities on the relation between futures and spot prices. Within a multiperiod equilibrium model, the influence of optimal arbitrage trading on the mispricing is analyzed. Among others, optimal arbitrage trading is shown to lead to path dependent mispricing and persistent undervaluation of futures contracts. The hypotheses of the model are tested using intraday data. Results concerning level, mean reversion and path dependence of the mispricing are provided. The empirical evidence suggests that short selling restrictions and early unwinding opportunities are very influential factors for the mispricing behavior.