Deviations from the law of one price between futures and spot prices—the futures-cash basis—capture information about liquidity demand for equity market exposure in global markets. We show that the basis comoves with dealer and investor futures positions, is contemporaneously positively correlated with futures and spot market returns, and negatively predicts futures and spot returns. These findings are consistent with the futures-cash basis reflecting liquidity demand that is common to futures and cash equity markets. We find persistent supply-demand imbalances for equity index exposure reflected in the basis, giving rise to an annual premium of 5% to 6%.

中文翻译：

---

超越基差基础知识：流动性需求和一价定律的偏离

偏离期货和现货价格之间的一价定律——期货-现货基础——获取有关全球市场股票市场敞口的流动性需求的信息。我们表明，基差与交易商和投资者的期货头寸相关，同时与期货和现货市场回报呈正相关，并负向预测期货和现货回报。这些发现与反映期货和现货股票市场常见的流动性需求的期货-现金基础一致。我们发现基差反映了股票指数敞口的持续供需失衡，导致每年溢价 5% 至 6%。