Direct Tests of Index Arbitrage Models
通过分析实际标普500指数套利交易数据，直接检验指数套利模型的预测，发现卖空规则不太影响定价偏差、套利资金机会成本高于国债利率、平均价差较小，且模型解释力较低。
Previous tests of stock index arbitrage models have rejected the no-arbitrage constraint imposed by these models. This paper provides a detailed analysis of actual S&P 500 arbitrage trades and directly relates these trades to the predictions of index arbitrage models. An analysis of arbitrage trades suggests that i) short-sale rules are unlikely to affect the cashfutures mispricing, ii) the opportunity cost of arbitrage funds exceeds the Treasury bill rate, and iii) the average price discrepancy captured by arbitrage trades is small. Tests of the models provide some support for a version ofthe arbitrage model that incorporates an early liquidation option. The ability of these models to explain arbitrage trades, however, is surprisingly low.