<$BlogRSDUrl$>

7.31.2004

No-arbitrage clearly disproven; markets are inefficient 

On June 22, 2004, the value of a futures contract that delivers $1 in the case of a Bush win was $0.54.

The price of the same futures contract contingent upon a Kerry win at that time was also about $0.54.

(This market inefficiency had worked itself out by the end of the next trading day.)

(Then again, maybe traders on that day were forecasting negative interest rates in the future?)

Comments:

Post a Comment

Links to this post:

Create a Link

This page is powered by Blogger. Isn't yours?