The Journal of Finance

The Journal of Finance publishes leading research across all the major fields of finance. It is one of the most widely cited journals in academic finance, and in all of economics. Each of the six issues per year reaches over 8,000 academics, finance professionals, libraries, and government and financial institutions around the world. The journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.

AFA members can log in to view full-text articles below.

Current Issue:

Volume 79: Issue 2 (April 2024)

Top 25 Recent Articles

Top 50 Articles of All Time

View past issues

Search the Journal of Finance:






Search results: 1.

Difference Systems in Financial Futures Markets

Published: 12/01/1982   |   DOI: 10.1111/j.1540-6261.1982.tb03611.x

THOMAS ERIC KILCOLLIN

Many financial futures markets allow substitutions for the par grade of security at delivery. Substitutes are deliverable at premiums or discounts—“differences” in commodities parlance—to the futures price. The rule that establishes these differences is called a difference system. This paper characterizes financial futures market equilibrium with yield‐based difference systems and investigates particular systems in use. The major finding is that currently used difference systems effectively limit deliverable supply in the futures markets and lead to futures prices which understate the cash market price of the par security.

  View PDF     Read article online