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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

Chinese

加密货币场所越来越多地列出股票和其他现实世界资产(RWA)的永久期货数据,这些场所不断交易但参考股息支付股票:长期股票永久标记为前股息现金价格承载前股息下降而没有收到股息。我们询问这些场所的外部非股息融资架构是否相匹配 - 融资从当代基础 $e_t=P_t-S_t$设置而不是承载间隔目标 - 可以复制股东现金流量,以便交易者在任意时间进入和退出。它不能。 融资服务两个角色,这些场所运行为非股息加密资产但分离股票:基础控制和结算。 我们给了公平融资基金身份,投放公平融资作为一个最佳的停止条件

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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