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The End of the Month as a Preferred Habitat: A Test of Operational Efficiency in the Money Market

Citations

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Cited by:

  1. Whitledge, Matthew D. & Winters, Drew B., 2015. "The price of liquidity: CD rates charged by money market funds," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 104-114.
  2. Christopher J. Neely & Drew B. Winters, 2005. "Year-end seasonality in one-month LIBOR derivatives," Working Papers 2003-040, Federal Reserve Bank of St. Louis.
  3. Naz Farah & Lutfullah Tooba & Zahra Kanwal, 2024. "COVID-19 and Seasonality in Monthly Returns: a Firm Level Analysis of PSX," Zagreb International Review of Economics and Business, Sciendo, vol. 27(1), pages 201-230.
  4. D Maphiri, 2001. "Treasury'S Role In Promoting Efficient Cash Management: Evidence From South Africa," South African Journal of Economics, Economic Society of South Africa, vol. 69(3), pages 385-404, September.
  5. Michael J. Fleming, 2002. "Are larger Treasury issues more liquid? Evidence from bill reopenings," Proceedings, Federal Reserve Bank of Cleveland, pages 707-739.
  6. Klenio Barbosa & Dakshina De Silva & Liyu Yang & Hisayuki Yoshimoto, 2019. "Auction Mechanisms and Treasury Revenue," Working Papers 267027285, Lancaster University Management School, Economics Department.
  7. Lee, Young-Sook, 2003. "The Federal funds market and the overnight Eurodollar market," Journal of Banking & Finance, Elsevier, vol. 27(4), pages 749-771, April.
  8. C. H. Furfine, 1999. "The price of risk at year-end: evidence from interbank lending," BIS Working Papers 76, Bank for International Settlements.
  9. Timothy Q. Cook, 1998. "Treasury bills," Monograph, Federal Reserve Bank of Richmond, number 1998t.
  10. Dottori, Davide & Manna, Michele, 2016. "Strategy and tactics in public debt management," Journal of Policy Modeling, Elsevier, vol. 38(1), pages 1-25.
  11. Ranaldo, Angelo & Schaffner, Patrick & Vasios, Michalis, 2021. "Regulatory effects on short-term interest rates," Journal of Financial Economics, Elsevier, vol. 141(2), pages 750-770.
  12. Babbel, David F. & Merrill, Craig B. & Meyer, Mark F. & de Villiers, Meiring, 2004. "The Effect of Transaction Size on Off-the-Run Treasury Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(3), pages 595-611, September.
  13. Kotomin, Vladimir & Smith, Stanley D. & Winters, Drew B., 2008. "Preferred habitat for liquidity in international short-term interest rates," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 240-250, February.
  14. Hao-Chen Liu & Mark David Witte, 2019. "Preferred Habitat, Window Dressing, or Both? Evidence From Foreign Exchange Swaps in Taiwan," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 22(03), pages 1-20, September.
  15. Athanassakos, George & Tian, Yisong Sam, 1998. "Seasonality in Canadian treasury bond returns: An institutional explanation," Review of Financial Economics, Elsevier, vol. 7(1), pages 65-86.
  16. Ahmed Baig & Drew B. Winters, 2022. "The search for a new reference rate," Review of Quantitative Finance and Accounting, Springer, vol. 58(3), pages 939-976, April.
  17. Vladimir Kotomin, 2021. "The clientele effect around the turn of the year: evidence from the bond markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(4), pages 637-653, October.
  18. Lee, Yu Kyung & Kim, Ryumi, 2022. "The turn-of-the-month effect and trading of types of investors," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
  19. Kenneth Barbade & Paul Bennett & John Kambhu, 2000. "Enhancing the liquidity of U.S. Treasury securities in an era of surpluses," Economic Policy Review, Federal Reserve Bank of New York, issue Apr, pages 89-119.
  20. Paul Bennett & Kenneth Garbade & John Kambhu, 1999. "Enhancing the Liquidity of U.S. Treasury Securities in an Era of Surpluses," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-083, New York University, Leonard N. Stern School of Business-.
  21. Preget, Raphaele & Waelbroeck, Patrick, 2005. "Treasury bill auction procedures: Empirical perspectives from French market bid functions," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1054-1072, November.
  22. Akay, Ozgur (Ozzy) & Griffiths, Mark D. & Kotomin, Vladimir & Winters, Drew B., 2013. "A look inside AMLF: What traded and who benefited," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1643-1657.
  23. Vladimir Kotomin & Stanley Smith & Drew Winters, 2014. "Interest-rate and calendar-time effects in money market fund and bank deposit cash flows," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(1), pages 84-95, January.
  24. Vladimir Kotomin, 2013. "The Year-End Effect In Money Market Yields: Beyond One Month And Beyond The Crisis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 36(2), pages 233-252, June.
  25. George Athanassakos & Yisong Sam Tian, 1998. "Seasonality in Canadian treasury bond returns: An institutional explanation," Review of Financial Economics, John Wiley & Sons, vol. 7(1), pages 65-86.
  26. Benjamin Munyan, 2015. "Regulatory Arbitrage in the Repo Market," Working Papers 15-22, Office of Financial Research, US Department of the Treasury.
  27. Griffiths, Mark D. & Kotomin, Vladimir & Winters, Drew B., 2009. "Year-end and quarter-end effects in the term structure of sterling repo and Eurepo rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 803-817, December.
  28. Shanshan Yang & Sherrill Shaffer, 2010. "Bank Window Dressing: A Re-Assessment and a Puzzle," CAMA Working Papers 2010-06, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  29. Mark Griffiths & Drew Winters, 1997. "On a Preferred Habitat for Liquidity at the Turn-of-the-Year: Evidence from the Term-Repo Market," Journal of Financial Services Research, Springer;Western Finance Association, vol. 12(1), pages 21-38, August.
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