Liquidity and the Law of One Price: The Case of the Futures‐Cash Basis

By Richard Roll, Eduardo S. Schwartz, Avanidhar Subrahmanyam. 2007

195 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c54aa05c448868da250af599d824a58ab6b61470

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Bahattin Büyüksahin
2. Jeffrey H. Harris
3. Michel A. Robe
4. Ing-Haw Cheng
5. George Filis
6. Rangan Gupta
7. Scott H. Irwin
8. D. R. Sanders

In Finance

1. Bahattin Büyüksahin
2. Jeffrey H. Harris
3. Michel A. Robe
4. George Filis
5. Stavros Degiannakis *
6. Rangan Gupta

Citations in the corpus

• Fundamentals, Trader Activity and Derivative Pricing (2008, result): “To the extent that swap dealers’ increased activity in near-term contracts echoes an increase in commodity index investment flows, our findings support other previous empirical evidence that greater uninformed liquidity trading is related to the efficacy of arbitrage activities (Roll et al., 2007).”
• Have Capital Market Anomalies Attenuated in the Recent Era of High Liquidity and Trading Activity (2014, unknown): “2See, for instance, Hendershott and Riordan (2011), Boehmer and Kelley (2009), Chordia, Roll, and Subrahmanyam (2008, 2011) and Roll, Schwartz, and Subrahmanyam (2007).”