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Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program

โœ Scribed by Mark Grinblatt; Francis A. Longstaff

Book ID
108502959
Publisher
John Wiley and Sons
Year
2000
Tongue
English
Weight
97 KB
Volume
55
Category
Article
ISSN
0022-1082

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An empirical analysis of arbitrage oppor
An empirical analysis of arbitrage opportunities in the treasury bill futures market
โœ Shantaram P. Hegde; Ben Branch ๐Ÿ“‚ Article ๐Ÿ“… 1985 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 967 KB

Shantaram P. Hegde Ben Branch imultaneous spot and futures trading in T-bills permits investors to construct S a combination of spot and futures positions that is a close substitute for a corresponding pure spot bill position. If the net returns on the spot-futures combination exceed the comparable