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The Efficiency Of The Treasury Bill Futures Market: An Analysis Of Alternative Specifications

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  • Anthony J. Vignola
  • Charles DaleEconomists

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  • Anthony J. Vignola & Charles DaleEconomists, 1980. "The Efficiency Of The Treasury Bill Futures Market: An Analysis Of Alternative Specifications," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(2), pages 169-188, June.
    • Handle: RePEc:bla:jfnres:v:3:y:1980:i:2:p:169-188
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1980.tb00048.x
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    References listed on IDEAS

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    1. Baker, Charles C, Jr & Vignola, Anthony J, 1979. "Market Liquidity, Security Trading, and the Estimation of Empirical Yield Curves," The Review of Economics and Statistics, MIT Press, vol. 61(1), pages 131-135, February.
    2. Rendleman, Richard J, Jr & Carabini, Christopher E, 1979. "The Efficiency of the Treasury Bill Futures Market," Journal of Finance, American Finance Association, vol. 34(4), pages 895-914, September.
    3. Holbrook Working, 1948. "Theory of the Inverse Carrying Charge in Futures Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 30(1), pages 1-28.
    4. Capozza, Dennis R & Cornell, Bradford, 1979. "Treasury Bill Pricing in the Spot and Futures Markets," The Review of Economics and Statistics, MIT Press, vol. 61(4), pages 513-520, November.
    5. Hamburger, Michael J & Platt, Elliott N, 1975. "The Expectations Hypothesis and the Efficiency of the Treasury Bill Market," The Review of Economics and Statistics, MIT Press, vol. 57(2), pages 190-199, May.
    6. Dusak, Katherine, 1973. "Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums," Journal of Political Economy, University of Chicago Press, vol. 81(6), pages 1387-1406, Nov.-Dec..
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    Cited by:

    1. Robert W. Kolb & Gerald D. Gay, 1985. "A Pricing Anomaly In Treasury Bill Futures," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(2), pages 157-167, June.

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