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Maturity And Refunding Effects On Treasury-Bond Futures Price Variance

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  • Theodore M. Barnhill
  • James V. Jordan
  • William E. Seale

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  • Theodore M. Barnhill & James V. Jordan & William E. Seale, 1987. "Maturity And Refunding Effects On Treasury-Bond Futures Price Variance," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(2), pages 121-131, June.
    • Handle: RePEc:bla:jfnres:v:10:y:1987:i:2:p:121-131
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1987.tb00484.x
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    References listed on IDEAS

    as
    1. Samuelson, Paul A, 1976. "Is Real-World Price a Tale Told by the Idiot of Chance?," The Review of Economics and Statistics, MIT Press, vol. 58(1), pages 120-123, February.
    2. Ronald W. Anderson, 1985. "Some determinants of the volatility of futures prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 5(3), pages 331-348, September.
    3. Ronald W. Anderson & Jean-Pierre Danthine, 1983. "The Time Pattern of Hedging and the Volatility of Futures Prices," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 50(2), pages 249-266.
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    Cited by:

    1. Duong, Huu Nhan & Kalev, Petko S., 2008. "The Samuelson hypothesis in futures markets: An analysis using intraday data," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 489-500, April.
    2. Xu, Kewei & Xiong, Xiong & Li, Xiao, 2021. "The maturity effect of stock index futures: Speculation or carry arbitrage?," Research in International Business and Finance, Elsevier, vol. 58(C).
    3. Elton Daal & Joseph Farhat & Peihwang P. Wei, 2006. "Does futures exhibit maturity effect? New evidence from an extensive set of US and foreign futures contracts," Review of Financial Economics, John Wiley & Sons, vol. 15(2), pages 113-128.
    4. Robert Brooks & Pavel Teterin, 2020. "Samuelson hypothesis, arbitrage activity, and futures term premiums," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(9), pages 1420-1441, September.
    5. Daal, Elton & Farhat, Joseph & Wei, Peihwang P., 2006. "Does futures exhibit maturity effect? New evidence from an extensive set of US and foreign futures contracts," Review of Financial Economics, Elsevier, vol. 15(2), pages 113-128.
    6. Michael J. Gombola & Douglas R. Kahl & Kenneth P. Nunn Jr., 1988. "Valuation Of The Preferred Stock Sinking Fund Feature: A Time-Series Approach," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(1), pages 33-42, March.

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