On a Preferred Habitat for Liquidity at the Turn-of-the-Year: Evidence from the Term-Repo Market
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Volume (Year): 12 (1997)
Issue (Month): 1 (August)
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References listed on IDEAS
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- Lakonishok, Josef, et al, 1991.
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- Park, Sang Yong & Reinganum, Marc R., 1986. "The puzzling price behavior of treasury bills that mature at the turn of calendar months," Journal of Financial Economics, Elsevier, vol. 16(2), pages 267-283, June.
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- 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.
- Ogden, Joseph P., 1987. "The End of the Month as a Preferred Habitat: A Test of Operational Efficiency in the Money Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(03), pages 329-343, September.
- White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
- Allen, Linda & Saunders, Anthony, 1992. "Bank window dressing: Theory and evidence," Journal of Banking & Finance, Elsevier, vol. 16(3), pages 585-623, June.
- Thomson, James B., 1989. "Errors in Recorded Security Prices and the Turn-ofthe-Year Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(04), pages 513-526, December.
- James B. Thomson, 1986. "Errors in recorded security prices and the turn-of-the year effect," Working Paper 8611, Federal Reserve Bank of Cleveland.
- Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, vol. 18(1), pages 161-174, March.
- Duffie, Darrell, 1996. " Special Repo Rates," Journal of Finance, American Finance Association, vol. 51(2), pages 493-526, June.
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- Ritter, Jay R & Chopra, Navin, 1989. " Portfolio Rebalancing and the Turn-of-the-Year Effect," Journal of Finance, American Finance Association, vol. 44(1), pages 149-166, March.
- Branch, Ben, 1977. "A Tax Loss Trading Rule," The Journal of Business, University of Chicago Press, vol. 50(2), pages 198-207, April. Full references (including those not matched with items on IDEAS)
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