The intraday ex post and ex ante profitability of index arbitrage

The pricing of commodity contracts

Fischer Black · Journal of Financial Economics · 1976 · 2.9K citations

Social Sciences, Contract Law, Economics +8

The relation between forward prices and futures prices

John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross · Journal of Financial Economics · 1981 · 754 citations

Business, Economics, Finance +14

The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index

Ira G. Kawaller, Paul D. Koch, Timothy W. Koch · The Journal of Finance · 1987 · 491 citations

Business, Business Economics, Economics +11

Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices

A. Craig MacKinlay, Krishna Ramaswamy · Review of Financial Studies · 1988 · 365 citations

Business, Economics, Finance +17

Hedging Performance and Basis Risk in Stock Index Futures

Stephen Figlewski · The Journal of Finance · 1984 · 347 citations

Management, Finance, Financial Management +14