The Saga of the First Stock Index Futures Contract: Benchmarks, Models, and Learning

Schlüter, Thomas

doi:10.1353/mcb.2002.0023

Cited by 7 publications

(2 citation statements)

References 30 publications

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“…Finance scholars have long recognized that the IPO context is conducive to information cascades (e.g., Amihud et al, 2003;Welch, 1992) because investors must make trading decisions about stocks that have not been publicly traded and do not have a history of price change they can rely on to determine firm value (Figlewski, 1982). As a result, substantial uncertainty about the appropriate value and potential of IPO firms exists (Thomas, 2002). For investors, making a choice differing from that of the majority can result in either missing an opportunity or sustaining a loss.…”

Section: Cascades Among and Between Investors And The Mediamentioning

confidence: 99%

Market Watch: Information and Availability Cascades Among the Media and Investors in the U.S. IPO Market

Pollock

Rindova

Maggitti

2008

AMJ

260

200

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In this study we advance current research on social influence in markets by examining how the recency and availability of information about others' actions within and between different communities influence their allocation of attention and their evaluations. Specifically, we examine how the media and investors allocate attention to and evaluate newly public firms in the days following their initial public offerings (IPOs). Our findings have implications for understanding the fieldwide processes through which the value of new firms is established in markets.

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Section: Cascades Among and Between Investors And The Mediamentioning

confidence: 99%

Market Watch: Information and Availability Cascades Among the Media and Investors in the U.S. IPO Market

Pollock

Rindova

Maggitti

2008

AMJ

260

200

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“…While works such as Figlewski (1984Figlewski ( , 1985, Brennan and Schwartz (1990), Thomas (2002) and Richie et al (2008) and Cummings and Frino (2011) document evidence of significant disequilibria in the spot-futures relation, there are two commonalities in these works: first, the nature of the pricing relation examined therein is not a temporal one based on lead-lag effects, but rather a mispricing approach based on a cost of carry model; second, disequilibria in these works are frequently attributed to transaction costs, market (im)maturity and liquidity effects that give rise to disequilibria while precluding arbitrage.…”

Section: Related Literaturementioning

confidence: 99%

Ultra‐High‐Frequency Algorithmic Arbitrage Across International Index Futures

Alsayed

McGroarty

2014

Journal of Forecasting

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We show that persistent lead–lag relationships spanning mere fractions of a second exist in all three possible pairings of the S&P 500, FTSE 100 and DAX futures contracts. These relationships exhibit clear intraday patterns which help us to forecast mid‐quote changes in lagging contracts with directional accuracy in excess of 85%. A simple algorithmic trading strategy exploiting these relations yields economically significant profits which are robust to market impact costs and the bid–ask spread. We find that price slippage and infrastructure costs are our most important limits to arbitrage. Our results support the impossibility of EMH view that informational inefficiencies incentivize arbitrageurs to eliminate mispricings. Copyright © 2014 John Wiley & Sons, Ltd.

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