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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

Portuguese

Os locais de criptografia listam cada vez mais futuros perpétuos em ações e outros ativos do mundo real (RWAs), que negociam continuamente, mas transferem ações de pagamento de dividendos de referência: um prémio perpétuo de capital longo marcado com o preço de dinheiro do ex-dividendo carrega a queda do ex-dividendo sem receber o dividendo. Perguntamos se a arquitetura de financiamento de índice de prémio executa esses locais - financiamento definido a partir da base contemporânea $e_t=P_t-S_t$ em vez de um objetivo de carregamento - pode replicar os fluxos de caixa dos acionistas para os comerciantes entrarem e sair em tempos arbitrários. Não pode. O financiamento serve dois papéis que coincidem com os ativos de criptografia

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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