Associate Professor of Finance and Business Economics, University of Southern California. Numerous individuals were very helpful in providing me the data necessary to undertake this study. They include J. Kimball Dietrich, of the U.S. Department of the Treasury (visiting), Kenneth Lehn, Chief Economist of the U.S. Securities and Exchange Commission, Bill MacDonald of the SEC, Ken Cone of the Chicago Mercantile Exchange, Jeremy Evnine of Wells Fargo Investment Advisors, and others unknown to me. Their assistance is greatly appreciated. The final version of the paper benefited from discussions in seminars at the SEC, the CFTC, the Fuqua School at Duke, and the Graduate School of Business at NYU. Other editorial suggestions were also provided by the editor, the referee, and Eduardo Schwartz. All remaining errors and all opinions are mine only. Partial financial support for this research was provided by the Mid America Institute for Public Policy Research, for which I am grateful.
The October 1987 S&P 500 Stock-Futures Basis
Article first published online: 30 APR 2012
1989 The American Finance Association
The Journal of Finance
Volume 44, Issue 1, pages 77–99, March 1989
How to Cite
HARRIS, L. (1989), The October 1987 S&P 500 Stock-Futures Basis. The Journal of Finance, 44: 77–99. doi: 10.1111/j.1540-6261.1989.tb02405.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
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