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]
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.