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.
Additional Information
| Product Type | Case |
|---|---|
| Reference No. | F&A0508 |
| Title | Pitfalls in Single Stock Futures |
| Pages | 8 |
| Published on | Jul 2, 2013 |
| Year of Event | 2011 and 2012 |
| Authors | Varma, Jayanth R; |
| Area | Finance and Accounting (F&A) |
| Keywords | Stock Futures, Market Manipulation, Cost of Carry |
| Country | India |
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