Information Content of Implicit Spot Prices Embedded in Single Stock Future Prices: Evidence from Indian Market (Record no. 49253)
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| 000 -LEADER | |
|---|---|
| fixed length control field | nam a22 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20180214144903.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 180214b xxu||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Pathak, Rajesh |
| 9 (RLIN) | 30190 |
| 245 ## - TITLE STATEMENT | |
| Title | Information Content of Implicit Spot Prices Embedded in Single Stock Future Prices: Evidence from Indian Market |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 169-187 p. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | This study examines the information content of pricing error, measured by the difference between the implied price computed using the cost of carry model and the spot price of Single Stock Futures (SSFs), traded on National Stock Exchange (NSE), India. The returns of portfolios, based on ranking of such pricing errors, are investigated. The consistency of results is verified by controlling for established risk factors, that is, market, size, value and momentum premium, and idiosyncratic factors such as firm’s liquidity and size. Our study reveals that the pricing error is a priced risk factor that contains incremental information about stock returns of day t, and not beyond. We conclude that implied spot prices from stock futures market are useful for traders to profit in the spot market. |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Derivatives |
| Uncontrolled term | single-stock-futures |
| Uncontrolled term | cost-of-carry |
| Uncontrolled term | pricing error |
| Uncontrolled term | informed trading |
| 700 ## - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Verousis, Thanos |
| 9 (RLIN) | 30191 |
| Personal name | Chauhan, Yogesh |
| 9 (RLIN) | 30192 |
| 773 0# - HOST ITEM ENTRY | |
| Host Biblionumber | 29445 |
| Host Itemnumber | 66886 |
| Main entry heading | GANGOPADHYAY, SHUBHASIS |
| Place, publisher, and date of publication | NEW DELHI SAGE PUBLICATION PVT. LTD. |
| Other item identifier | 5557702 |
| Title | JOURNAL OF EMERGING MARKET FINANCE |
| International Standard Serial Number | 0972-6527 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Dewey Decimal Classification |
| Koha item type | Journal Article |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Home library | Current library | Date acquired | Total Checkouts | Full call number | Barcode | Date last seen | Price effective from |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dewey Decimal Classification | Main Library | Main Library | 14/02/2018 | Vol 16, No 2/ 5557702JA4 | 5557702JA4 | 14/02/2018 | 14/02/2018 |