Anderson Graduate School of Management, University of California, Los Angeles. We are grateful to an anonymous referee, an associate editor, and Rob Stambaugh (the editor) for insightful and constructive suggestions that have greatly improved this paper. We also thank Nihat Aktas, Yakov Amihud, Eric de Bodt, Laura Frieder, Terry Hendershott, Esa Jokivuolle, Andrew Karolyi, Alexander Kempf, Olaf Korn, Feifei Li, Jun Liu, and participants in seminars at the University of California—Berkeley, the University of Minnesota, ISCTE Business School in Lisbon, and the UCLA Alumni Association seminar in Tokyo for helpful comments and/or assistance with the preparation of the manuscript.
Liquidity and the Law of One Price: The Case of the Futures-Cash Basis
Version of Record online: 4 SEP 2007
© 2007 the American Finance Association
The Journal of Finance
Volume 62, Issue 5, pages 2201–2234, October 2007
How to Cite
ROLL, R., SCHWARTZ, E. and SUBRAHMANYAM, A. (2007), Liquidity and the Law of One Price: The Case of the Futures-Cash Basis. The Journal of Finance, 62: 2201–2234. doi: 10.1111/j.1540-6261.2007.01273.x
- Issue online: 4 SEP 2007
- Version of Record online: 4 SEP 2007
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