Measuring Asset Values for Cash Settlement in Derivative Markets: Hedonic Repeated Measures indices and Perpetual Futures / Robert J. Shiller.

Format:

Book

Author/Creator:

Shiller, Robert J.

Contributor:

National Bureau of Economic Research.

Series:

Technical Working Paper Series (National Bureau of Economic Research) no. t0131.

NBER technical working paper series no. t0131

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Measuring Asset Values for Cash Settlement in Derivative Markets

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1993.

Summary:

Two proposals are made that may facilitate the creation of derivative market instruments, such as futures contracts, cash-settled based on economic indices. The first proposal concerns index number construction: indices based on infrequent measurements of nonstandardized items may control for quality change by using a hedonic repeated measures method, an index number construction method that follows individual assets or subjects through time and also takes account of measured quality variables. The second proposal is to establish markets for perpetual claims on cash flows matching indices of dividends or rents. Such markets may help us to measure the prices of the assets generating these dividends or rents even when the underlying asset prices are difficult or impossible to observe directly. A perpetual futures contract is proposed that would cash settle every day in terms of both the change in the futures price and the dividend or rent index for that day.

Notes:

Print version record

December 1993.