The When-Issued Market for Government of Canada Treasury Bills
AbstractBy working directly with the profit functions for both arbitrage and speculative trades, this paper develops two distinct notions of market efficiency. These notions provide the basis for evaluating the performance of the when-issued market for Canadian government treasury bills. Despite the maximum one-week maturity of when-issued forward contracts, a number of instances of inefficient pricing behavior are observed.
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Bibliographic InfoArticle provided by Canadian Economics Association in its journal Canadian Journal of Economics.
Volume (Year): 24 (1991)
Issue (Month): 3 (August)
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Postal: Canadian Economics Association Prof. Steven Ambler, Secretary-Treasurer c/o Olivier Lebert, CEA/CJE/CPP Office C.P. 35006, 1221 Fleury Est Montréal, Québec, Canada H2C 3K4
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- Poitras, Geoffrey, 1998. "TED Tandems: Arbitrage Restrictions and the US Treasury Bill/Eurodollar Futures Spread," International Review of Economics & Finance, Elsevier, Elsevier, vol. 7(3), pages 255-276.
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