I1 to 1983-111 both the future contract and the implied forward rate provide better forecasts of the future spot rate on a thirteen week T-bill than the Martingale forecast for up to four weeks prior to delivery of the futures contract. Further, the futures forecast outperforms the forward forecast
The effect of the tax treatment of treasury-bill futures on their rates
โ Scribed by Marcelle Arak
- Publisher
- John Wiley and Sons
- Year
- 1983
- Tongue
- English
- Weight
- 536 KB
- Volume
- 3
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
urrent regulations for financial intermediaries impose rigid constraints 011 C the interest rate maturity of deposit liabilities. While these regulations provide access to lower-cost funds, compared with the rate on borrowings of the same maturity, the maturity restrictions can generate undesirable
his article examines the pricing efficiency of the gold futures market relative T to the Treasury bill futures market. Futures contracts for gold, a relative newcomer, have only been traded since 1975. T-bill futures contracts, also a relative newcomer, have been traded on organized exchanges since
considerable body of literature has developed concerning the cheapest bond A to deliver against the Chicago Board of Trade Treasury Bond futures contracts. The investor who is short in this contract has the option to deliver one out of many possible bonds. A number of authors have argued that this
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