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The puzzling price behavior of treasury bills that mature at the turn of calendar months

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  • Park, Sang Yong
  • Reinganum, Marc R.
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 16 (1986)
    Issue (Month): 2 (June)
    Pages: 267-283

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    Handle: RePEc:eee:jfinec:v:16:y:1986:i:2:p:267-283

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    Web page: http://www.elsevier.com/locate/inca/505576

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    Cited by:
    1. Babbel, David F. & Merrill, Craig B. & Meyer, Mark F. & de Villiers, Meiring, 2004. "The Effect of Transaction Size on Off-the-Run Treasury Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(03), pages 595-611, September.
    2. Timothy Cook & Thomas Hahn, 1990. "Interest rate expectations and the slope of the money market yield curve," Economic Review, Federal Reserve Bank of Richmond, issue Sep, pages 3-26.
    3. Fleming, Michael J, 2002. "Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(3), pages 707-35, August.
    4. Chang, Eric C. & Cheng, Joseph W., 2000. "Further evidence on the variability of inflation and relative price variability," Economics Letters, Elsevier, vol. 66(1), pages 71-77, January.
    5. Vladimir Kotomin & Stanley Smith & Drew Winters, 2014. "Interest-rate and calendar-time effects in money market fund and bank deposit cash flows," Journal of Economics and Finance, Springer, vol. 38(1), pages 84-95, January.
    6. Preget, Raphaele & Waelbroeck, Patrick, 2005. "Treasury bill auction procedures: Empirical perspectives from French market bid functions," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1054-1072, November.
    7. Kotomin, Vladimir & Smith, Stanley D. & Winters, Drew B., 2008. "Preferred habitat for liquidity in international short-term interest rates," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 240-250, February.
    8. Paul Bennett & Kenneth Garbade & John Kambhu, 1999. "Enhancing the Liquidity of U.S. Treasury Securities in an Era of Surpluses," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-083, New York University, Leonard N. Stern School of Business-.
    9. Sergio Zúñiga J., 2001. "Seasonal Effects and Volume-yield Relationship in the Central Bank Indexed Promissory Notes," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 4(1), pages 5-24, April.
    10. Furfine, Craig H., 2004. "Public disclosures and calendar-related movements in risk premiums: evidence from interbank lending," Journal of Financial Markets, Elsevier, vol. 7(1), pages 97-116, January.
    11. Timothy Q. Cook, 1998. "Treasury bills," Monograph, Federal Reserve Bank of Richmond, number 1998t.
    12. Mark Griffiths & Drew Winters, 1997. "On a Preferred Habitat for Liquidity at the Turn-of-the-Year: Evidence from the Term-Repo Market," Journal of Financial Services Research, Springer, vol. 12(1), pages 21-38, August.
    13. Paul Bennett & Kenneth Barbade & John Kambhu, 2000. "Enhancing the liquidity of U.S. Treasury securities in an era of surpluses," Economic Policy Review, Federal Reserve Bank of New York, issue Apr, pages 89-119.

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