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The puzzling price behavior of treasury bills that mature at the turn of calendar months

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. 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.
  3. C. H. Furfine, 1999. "The price of risk at year-end: evidence from interbank lending," BIS Working Papers 76, Bank for International Settlements.
  4. Timothy Q. Cook, 1998. "Treasury bills," Monograph, Federal Reserve Bank of Richmond, number 1998t.
  5. Fleming, Michael J, 2002. "Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(3), pages 707-735, August.
  6. 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.
  7. 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.
  8. 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.
  9. Sergio Zúñiga J., 2001. "Seasonal Effects and Volume-yield Relationship in the Central Bank Indexed Promissory Notes," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 4(1), pages 5-24, April.
  10. Furfine, Craig H., 2004. "Public disclosures and calendar-related movements in risk premiums: evidence from interbank lending," Journal of Financial Markets, Elsevier, vol. 7(1), pages 97-116, January.
  11. 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.
  12. 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.
  13. 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.
  14. Timothy Q. Cook & Thomas K. Hahn, 1990. "Interest rate expectations and the slope of the money market yield curve," Economic Review, Federal Reserve Bank of Richmond, vol. 76(Sep), pages 3-26.
  15. Greg Duffee, 2011. "Forecasting with the term structure: The role of no-arbitrage restrictions," Economics Working Paper Archive 576, The Johns Hopkins University,Department of Economics.
  16. Klenio Barbosa & Dakshina De Silva & Liyu Yang & Hisayuki Yoshimoto, 2019. "Auction Mechanisms and Treasury Revenue," Working Papers 267027285, Lancaster University Management School, Economics Department.
  17. Chang, Eric C. & Cheng, Joseph W., 2000. "Further evidence on the variability of inflation and relative price variability," Economics Letters, Elsevier, vol. 66(1), pages 71-77, January.
  18. 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.
  19. 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.
  20. Baig, Ahmed & Winters, Drew B., 2018. "A preferred habitat for liquidity in term repos: Before, during and after the financial crisis," Journal of Economics and Business, Elsevier, vol. 99(C), pages 1-14.
  21. 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.
  22. Ahmed S. Baig & Drew B. Winters, 2021. "Month-End Regularities in the Overnight Bank Funding Markets," JRFM, MDPI, vol. 14(5), pages 1-16, May.
  23. 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-.
  24. Chen, Zhongdong & Schmidt, Adam & Wang, Jin’ai, 2021. "Retail investor risk-seeking, attention, and the January effect," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
  25. 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.
  26. Benjamin Munyan, 2015. "Regulatory Arbitrage in Repo Markets," Working Papers 15-22, Office of Financial Research, US Department of the Treasury.
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