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Basis-Only Funding Is Not Dividend Fair: Settlement Design in Crypto Equity Perpetuals

Donghwa Seo, Doohwi Cha, 손승한, Juyeong Lee, Minsuk Sung, Minjae Lee · 2026 · arXiv (Cornell University)

DOI: 10.48550/arxiv.2610.22839 · cited by 0 works (OpenAlex) · open-access PDF

Korean

암호화 장소는 점점 더 주식 및 다른 실제 자산 (RWAs)에 대한 영구 데이터 미래를 나열하고 있습니다. 그럼에도 불구하고 연속적으로 거래되는 지분 지급 주식 : 전 지분 현금 가격에 표시된 긴 주식 영구는 지분을받지 않고 전 지분을 가져옵니다. 우리는 프리미엄 인덱스 자금 조성 아키텍처가이 장소를 실행하는지 여부를 묻습니다. - 동시적 기초 $e_t=P_t-S_t$에서 세팅 된 자금을 전송합니다. - 우리는 최적의 중지 조건으로 지분을 제거하는 타이밍 자금 흐름을 복제 할 수 있습니다. 그것은 할 수 없습니다. 자금은 지분이 아닌 외부 자산에 대해 일치하는 두 가지 역할

Machine translation (Meta M2M100); the English original follows.

Abstract

Crypto venues increasingly list perpetual futures on equities and other real-world assets (RWAs), which trade continuously yet reference dividend-paying stocks: a long equity perpetual marked to the ex-dividend cash price bears the ex-dividend drop without receiving the dividend. We ask whether the premium-index funding architecture these venues run -- funding set from the contemporaneous basis $e_t=P_t-S_t$ rather than a carry target -- can replicate shareholder cash flows for traders entering and exiting at arbitrary times. It cannot. Funding serves two roles that coincide for non-dividend crypto assets but split apart for equities: basis control and settlement. We give the fair-funding identity, cast timing fairness as an optimal-stopping condition, and characterize when the basis is a sufficient statistic for the fair target. The decisive obstruction is measure-theoretic: a predictable dividend is an atom, and no absolutely continuous funding path can replicate an atom over holding intervals even in the weak limit, so fairness must match the atom with an atom -- an event credit. Exchange-native data confirm this: at each covered ex-date one venue posts a discrete funding atom equal to $-D/(\mathrm{Mark}-D)$ while a standard premium-index venue posts none, transferring the dividend across venues -- from native funding alone, with no external spot.

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Topics: Equity (law), Futures contract, Dividend, Cash, Shareholder, Economics

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