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

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

Sang Yong Park1986

Article1986

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

Sang Yong Park · Marc R. Reinganum

68 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Stochastic processes and financial applications Credit Risk and Financial Regulations

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References

1983Size-related anomalies and stock return seasonality 1976Capital market seasonality: The case of stock returns 1983The anomalous stock market behavior of small firms in January 1983Vas Ist Das?1976Forward rates as predictors of future spot rates 1970The Cyclical Behavior of the Term Structure of Interest Rates 1972The Behavior of Interest Rates.1969Interest Rates and Price Level Changes, 1952-69

Cited by

1990Seasonality and size effects: The case of real-estate-related investment 1991Segmentation in the Treasury Bill Market: Evidence from Cash Management Bills 1997On a Preferred Habitat for Liquidity at the Turn-of-the-Year: Evidence from the Term-Repo Market 1994Further evidence on segmentation in the treasury bill market 2020Regulatory Effects on Short Term Interest Rates 2007Preferred habitat for liquidity in international short-term interest rates

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Year1986

Typearticle

Published1986-06-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations68

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/0304-405x(86)90063-2

openalex_workW2072848563

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2004

The Effect of Transaction Size on Off-the-Run Treasury Prices

1990Interest Rate Expectations and the Slope of the Money Market Yield Curve