Market Trading Structures and Asset Pricing: Evidence from the Treasury-Bill Markets

• 成果类型: Article
• 署名作者: Kamara, Avraham
• 署名单位: University of Washington; University of Washington Seattle
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/1.4.357
• 发表日期: 1988
• 页码: 357
• 关键词: futures markets; prices; COSTS; EFFICIENCY; arbitrage; liquidity; PREMIUMS; implicit

摘要

Earlier studies report significant price disparities between futures and forward or spot markets. Examining the Treasury-bill markets, this article demonstrates that differences in market trading structures explain these disparities. Treasury-bill futures rates contain significantly lower liquidity and default premia than do synthetic forward rates. This reflects the functioning of a futures' clearing association and differences between an open-outcry auction futures market and an over-the-counter dealer spot market. The same factors that make futures contracts nonredundant securities also explain the existence, in equilibrium, of price disparities.