The Journal of Business · 1990 · 234 citations · 10 references
BusinessEconomicsFinanceFinancial EconomicsFinancial MarketsPortfolio ManagementArbitrage PricingFutures MarketsInvestmentPortfolio TheoryStock OptionsArbitrage ConstraintsFutures-spot ArbitrageIndex ArbitrageOptimization Under Transaction CostsStock Index FuturesTrade-off Between Transaction CostsTransaction Cost Arbitrage
Michael J. Brennan, Eduardo S. Schwartz, Arbitrage in Stock Index Futures, The Journal of Business, Vol. 63, No. 1, Part 2: A Conference in Honor of Merton H. Miller's Contributions to Finance and Economics (Jan., 1990), pp. S7-S31
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Hedging Performance and Basis Risk in Stock Index Futures
Stephen Figlewski · The Journal of Finance · 1984 · 347 citations
Program Trading and Expiration-Day Effects
Hans R. Stoll, Robert E. Whaley · Financial Analysts Journal · 1987 · 210 citations