Taxes and the Pricing of Stock Index Futures
发现股指期货价格通常低于简单套利模型预测的水平，并指出这一差异是由税收引起的，因为股票持有者拥有延迟纳税的时机选择权，而期货交易者没有。
ABSTRACT Stock index futures prices are generally below the level predicted by simple arbitrage models. This paper suggests that the discrepancy between the actual and predicted prices is caused by taxes. Capital gains and losses are not taxed until they are realized. As Constantinides demonstrates in a recent paper, this gives stockholders a valuable timing option. If the stock price drops, the investor can pass part of the loss on to the government by selling the stock. On the other hand, if the stock price rises, the investor can postpone the tax by not realizing the gain. Since this option is not available to stock index futures traders, the futures prices will be lower than standard no‐tax models predict.