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Arbitrage, carrying costs, and inflation: A reexamination of market efficiency in treasury bill futures

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  • Lin, James Wuh
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    Article provided by Elsevier in its journal International Review of Economics & Finance.

    Volume (Year): 5 (1996)
    Issue (Month): 2 ()
    Pages: 207-222

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    Handle: RePEc:eee:reveco:v:5:y:1996:i:2:p:207-222

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    Web page: http://www.elsevier.com/locate/inca/620165

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Reisman, Haim, 1992. "Intertemporal Arbitrage Pricing Theory," Review of Financial Studies, Society for Financial Studies, vol. 5(1), pages 105-22.
    2. Elton, Edwin J & Gruber, Martin J & Rentzler, Joel, 1984. "Intra-Day Tests of the Efficiency of the Treasury Bill Futures Market," The Review of Economics and Statistics, MIT Press, vol. 66(1), pages 129-37, February.
    3. Jarrow, Robert A. & Oldfield, George S., 1981. "Forward contracts and futures contracts," Journal of Financial Economics, Elsevier, vol. 9(4), pages 373-382, December.
    4. Rendleman, Richard J, Jr & Carabini, Christopher E, 1979. "The Efficiency of the Treasury Bill Futures Market," Journal of Finance, American Finance Association, vol. 34(4), pages 895-914, September.
    5. Cox, John C. & Ingersoll, Jonathan Jr. & Ross, Stephen A., 1981. "The relation between forward prices and futures prices," Journal of Financial Economics, Elsevier, vol. 9(4), pages 321-346, December.
    6. Milton Friedman, 1962. "The Interpolation of Time Series by Related Series," NBER Books, National Bureau of Economic Research, Inc, number frie62-1, October.
    7. Avraham Kamara, 1988. "Market Trading Structures and Asset Pricing: Evidence from the Treasury- Bill Markets," Review of Financial Studies, Society for Financial Studies, vol. 1(4), pages 357-375.
    8. Milton Friedman, 1962. "Introduction to "The Interpolation of Time Series by Related Series"," NBER Chapters, in: The Interpolation of Time Series by Related Series, pages 1-3 National Bureau of Economic Research, Inc.
    9. Edwin J. Elton & Martin J. Gruber & Joel C. Rentzler, 1985. "Employing Financial Futures to Increase the Return on Near Cash (Treasury Bill) Investments," Management Science, INFORMS, vol. 31(3), pages 293-300, March.
    10. Hafer, R W & Hein, Scott E & MacDonald, S Scott, 1992. "Market and Survey Forecasts of the Three-Month Treasury-Bill Rate," The Journal of Business, University of Chicago Press, vol. 65(1), pages 123-38, January.
    11. French, Kenneth R., 1983. "A comparison of futures and forward prices," Journal of Financial Economics, Elsevier, vol. 12(3), pages 311-342, November.
    12. Norman N. Bowsher, 1979. "Repurchase agreements," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 17-22.
    13. Cook, Timothy & Hahn, Thomas, 1988. "The Information Content of Discount Rate Announcements and Their Effect on Market Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 20(2), pages 167-80, May.
    14. James M. Poterba & Julio J. Rotemberg, 1988. "Inflation And Taxation With Optimizing Governments," NBER Working Papers 2567, National Bureau of Economic Research, Inc.
    15. Ben Bernanke, 1990. "The Federal Funds Rate and the Channels of Monetary Transnission," NBER Working Papers 3487, National Bureau of Economic Research, Inc.
    16. Fama, Eugene F, 1976. "Inflation Uncertainty and Expected Returns on Treasury Bills," Journal of Political Economy, University of Chicago Press, vol. 84(3), pages 427-48, June.
    17. Richard, Scott F. & Sundaresan, M., 1981. "A continuous time equilibrium model of forward prices and futures prices in a multigood economy," Journal of Financial Economics, Elsevier, vol. 9(4), pages 347-371, December.
    18. Capozza, Dennis R & Cornell, Bradford, 1979. "Treasury Bill Pricing in the Spot and Futures Markets," The Review of Economics and Statistics, MIT Press, vol. 61(4), pages 513-20, November.
    19. Kamara, Avraham, 1990. "Delivery Uncertainty and the Efficiency of Futures Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(01), pages 45-64, March.
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