Pitfalls in Single Stock Futures
Publication date: 2 July 2013
Abstract
The case describes two episodes where the basic valuation model (cost of carry model) for single stock futures appears to break down. The first involves market manipulation and the second involves an unexpected change in the record date for an already announced dividend. This breakdown leads to large losses for the participant in these futures markets.
Keywords
Acknowledgements
Prepared by Professor Jayanth R. Varma, Indian Institute of Management, Ahmedabad.
Citation
Varma, J.R. (2013), "Pitfalls in Single Stock Futures", . https://doi.org/10.1108/CASE.IIMA.2019.000050
Publisher
:Indian Institute of Management Ahmedabad
Copyright © 2013 by the Indian Institute of Management, Ahmedabad