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Negative option values are possible: The impact of Treasury bond futures on the cash U.S. Treasury market

  • Jordan, Bradford D.
  • Kuipers, David R.

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

Volume (Year): 46 (1997)
Issue (Month): 1 (October)
Pages: 67-102

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Handle: RePEc:eee:jfinec:v:46:y:1997:i:1:p:67-102
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  1. Longstaff, Francis A, 1992. "Are Negative Option Prices Possible? The Callable U.S. Treasury-Bond Puzzle," The Journal of Business, University of Chicago Press, vol. 65(4), pages 571-92, October.
  2. Jordan, Bradford D. & Jordan, Susan D. & Jorgensen, Randy D., 1995. "A reexamination of option values implicit in callable Treasury bonds," Journal of Financial Economics, Elsevier, vol. 38(2), pages 141-162, June.
  3. Garbade, Kenneth D & Silber, William L, 1976. "Price Dispersion in the Government Securities Market," Journal of Political Economy, University of Chicago Press, vol. 84(4), pages 721-40, August.
  4. Amihud, Yakov & Mendelson, Haim, 1991. " Liquidity, Maturity, and the Yields on U.S. Treasury Securities," Journal of Finance, American Finance Association, vol. 46(4), pages 1411-25, September.
  5. Gregory R. Duffee, 1994. "Idiosyncratic variation of Treasury bill yields," Finance and Economics Discussion Series 94-28, Board of Governors of the Federal Reserve System (U.S.).
  6. Sarig, Oded & Warga, Arthur, 1989. "Bond Price Data and Bond Market Liquidity," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(03), pages 367-378, September.
  7. Daves, Phillip R & Ehrhardt, Michael C, 1993. " Liquidity, Reconstitution, and the Value of U.S. Treasury Strips," Journal of Finance, American Finance Association, vol. 48(1), pages 315-29, March.
  8. Jegadeesh, Narasimhan, 1993. " Treasury Auction Bids and the Salomon Squeeze," Journal of Finance, American Finance Association, vol. 48(4), pages 1403-19, September.
  9. Jordan, Bradford D & Jordan, Susan D, 1997. " Special Repo Rates: An Empirical Analysis," Journal of Finance, American Finance Association, vol. 52(5), pages 2051-72, December.
  10. Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
  11. Warga, Arthur, 1992. "Bond Returns, Liquidity, and Missing Data," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(04), pages 605-617, December.
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