Beyond Basis Basics: Liquidity Demand and Deviations from the Law of One Price
研究发现期货与现货价格之间的基差反映了全球市场对股票敞口的流动性需求，该基差与交易商和投资者的期货头寸共同变动，能正向预测当期回报并负向预测未来回报，每年产生5%至6%的溢价。
ABSTRACT Deviations from the law of one price between futures and spot prices—the futures‐cash basis—capture information about liquidity demand for equity market exposure in global markets. We show that the basis comoves with dealer and investor futures positions, is contemporaneously positively correlated with futures and spot market returns, and negatively predicts futures and spot returns. These findings are consistent with the futures‐cash basis reflecting liquidity demand that is common to futures and cash equity markets. We find persistent supply‐demand imbalances for equity index exposure reflected in the basis, giving rise to an annual premium of 5% to 6%.