Financially constrained index futures arbitrage
构建了两个考虑现实套利者融资约束的股指期货套利模型，预测期货价格与现货指数在合约到期时间长或波动率高时偏离理论持有成本关系，实证结果支持融资约束对解释错误定价的重要性。
Abstract We develop two models for index futures arbitrage that take the financing constraints faced by real‐world arbitrageurs into account. Our models predict that the price of an index futures contract and the value of its underlying index should deviate further from their theoretical cost‐of‐carry relationship when (a) the contract has a long time to go before expiry, and (b) volatility is high. The fact that these predictions enjoy considerable empirical support highlights the importance of financing constraints for explaining index futures mispricing.