๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Ex-dividend Day Pricing in New Zealand

โœ Scribed by Jan Bartholdy; Kate Brown

Book ID
108514079
Publisher
John Wiley and Sons
Year
1999
Tongue
English
Weight
313 KB
Volume
39
Category
Article
ISSN
0810-5391

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## Abstract This paper examines pricing and arbitrage opportunities in the New Zealand bank bill futures market using an intraday data set. The key findings are: (a) the implied forward rate model yields biased estimates of the bill futures yield but the bias is small and not economically significa