AN ANALYSIS OF SINGLE STOCK FUTURES, DIVIDEND PREDICTIONS, AND SHORT-SALE BAN EFFECTS ON MARKET PRICING

Open Access
Author:
Yost, Steven
Area of Honors:
Finance
Degree:
Bachelor of Science
Document Type:
Thesis
Thesis Supervisors:
  • David Haushalter, Thesis Supervisor
  • James Alan Miles, Honors Advisor
Keywords:
  • single stock futures
  • futures
  • stock futures
  • mispricing
  • United States
  • OneChicago
  • predicting dividends
  • dividends
  • No Short Sale Ban
Abstract:
This paper focuses on the analysis of the U.S. single stock futures market. First, the study finds that average mispricing in futures contracts can be explained by categorical variables including security type, contract type, and an interaction between the two variables. Furthermore, evidence is also found that the market is efficient in predicting dividend changes from one hundred days prior to the declaration date. Moreover, it is found that along with substantially higher volume during the three weeks of the no short sale ban in 2008, there is evidence of greater mispricing among financial securities in the futures market when comparing the post three week ban period to the ban interval itself. However, I detect no evidence of greater mispricing for the pre-interval period against the ban interval.