Grinblatt is from the Anderson School at UCLA. Jegadeesh is from the University of Illinois, Urbana-Champaign College of Commerce & Business Administration. The authors thank the UCLA Academic Senate and the UIUC Research Board for research support, as well as the editor René Stulz, an anonymous referee, Michael Brennan, Jim Cataldo, Avraham Kamara, Toby Moskowitz, Avanidhar Subrahmanyam, Walter Torous, Jiang Wang, and seminar participants at Penn State, Boston College, the University of California at Berkeley, Stanford University, and the 1994 Western Finance Association meetings for comments on earlier drafts. They also thank Richard Aspinwall, Ed Kane, Ed Kleinbard, Ananth Madhavan, John Meriwether, Dennis O'Callahan, Brian Pennington, Venkat Ramdev, and Myron Scholes for sharing their insights on this topic. Finally, special gratitude goes out to Francis Longstaff for many helpful discussions.
Relative Pricing of Eurodollar Futures and Forward Contracts
Version of Record online: 30 APR 2012
© 1996 the American Finance Association
The Journal of Finance
Volume 51, Issue 4, pages 1499–1522, September 1996
How to Cite
GRINBLATT, M. and JEGADEESH, N. (1996), Relative Pricing of Eurodollar Futures and Forward Contracts. The Journal of Finance, 51: 1499–1522. doi: 10.1111/j.1540-6261.1996.tb04077.x
- Issue online: 30 APR 2012
- Version of Record online: 30 APR 2012
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