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Day-of-the-week effects in commercial paper yield rates

Listed author(s):
  • Nippani, Srinivas
  • Pennathur, Anita K.
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    File URL: http://www.sciencedirect.com/science/article/pii/S1062-9769(04)00031-6
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    Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

    Volume (Year): 44 (2004)
    Issue (Month): 4 (September)
    Pages: 508-520

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    Handle: RePEc:eee:quaeco:v:44:y:2004:i:4:p:508-520
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620167

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    1. Ben S. Bernanke, 1990. "On the predictive power of interest rates and interest rate spreads," New England Economic Review, Federal Reserve Bank of Boston, issue Nov, pages 51-68.
    2. Wilson, Jack W & Jones, Charles P, 1990. "Is There a January Effect in Corporate Bond and Paper Returns?," The Financial Review, Eastern Finance Association, vol. 25(1), pages 55-79, February.
    3. Griffiths, Mark D. & Winters, Drew B., 1995. "Day-of-the-week effects in federal funds rates: Further empirical findings," Journal of Banking & Finance, Elsevier, vol. 19(7), pages 1265-1284, October.
    4. Spindt, Paul A. & Hoffmeister, J. Ronald, 1988. "The Micromechanics of the Federal Funds Market: Implications for Day-of-the-Week Effects in Funds Rate Variability," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(04), pages 401-416, December.
    5. Jeffrey M. Wrase, 1998. "Is the Fed being swept out of (monetary) control?," Business Review, Federal Reserve Bank of Philadelphia, issue Nov, pages 3-12.
    6. Dubois, M. & Louvet, P., 1996. "The day-of-the-week effect: The international evidence," Journal of Banking & Finance, Elsevier, vol. 20(9), pages 1463-1484, November.
    7. Thatcher, Janet S & Blenman, Lloyd P, 2001. "Synthetic Trades and Calendar Day Patterns: The Case of the Dollar/Sterling Markets," The Financial Review, Eastern Finance Association, vol. 36(2), pages 177-199, May.
    8. Nippani, Srinivas & Liu, Pu & Schulman, Craig T., 2001. "Are Treasury Securities Free of Default?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 36(02), pages 251-265, June.
    9. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
    10. Hamilton, James D, 1996. "The Daily Market for Federal Funds," Journal of Political Economy, University of Chicago Press, vol. 104(1), pages 26-56, February.
    11. Drew B. Winters, 2002. "Commercial paper: a colossal market," National Economic Trends, Federal Reserve Bank of St. Louis, issue Oct.
    12. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
    13. Li‐Ming Han & John L. Kling & Clifford W. Sell, 1999. "Foreign exchange futures volatility: Day‐of‐the‐week, intraday, and maturity patterns in the presence of macroeconomic announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 19(6), pages 665-693, 09.
    14. Jordan, Susan D. & Jordan, Bradford D., 1991. "Seasonality in Daily Bond Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(02), pages 269-285, June.
    15. Knez, Peter J & Litterman, Robert & Scheinkman, Jose Alexandre, 1994. " Explorations into Factors Explaining Money Market Returns," Journal of Finance, American Finance Association, vol. 49(5), pages 1861-1882, December.
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