Until the mid-90s, the more active among the Brussels-listed stocks were traded in parallel segments: "spot" (that is, with t + 3 settlement) and "forward" (periodic settlement at the end of a two- or three-week period). The forward market was cheaper, deeper, unhampered by price limits, convenient also for shortsales, and played by the pros; so it looks likely to be the more efficient tier. In the forward markets, where the signal is stronger, we do find that time value affects prices. In spot markets there is very little evidence in favor or against a settlement
effect, perhaps because the time value item has a very small variability. As expected, the time value signals are somewhat stronger in forward prices and noticeably so in forward premiums,but the estimates remain below our theoretical priors. We also find that price discrepancies
are autocorrelated, probably indicating market inefficiency. A closer look reveals that positive forward premiums are persistent whereas negative ones vanish overnight. This is consistent with a market-imperfection explanation, where problems with raising cash (shorting money)are more important than problems with shorting stocks, thus creating preferred habitats for purchases (forward) and for sales (spot).