Tax options and the pricing of Treasury bond triplets: Theory and evidence

BD Jordan, SD Jordan - Journal of Financial Economics, 1991 - Elsevier
This study uses Treasury bond triplets, which consist of three different Treasury issues with a
common maturity date, to investigate the theoretical and empirical influence of tax strategies …

Market efficiency and calendar anomalies in commodity futures markets: a review

D Chhabra, M Gupta - Agricultural Economics Research Review, 2020 - indianjournals.com
This study reviews the literature on market efficiency and calendar anomalies in agricultural
commodity futures markets in India and abroad. The study finds that most studies used …

[BOOK][B] Anlagestrategien in festverzinslichen Wertpapieren

CS Holzer - 2013 - books.google.com
Die nationalen und intemationalen Kapitalmarkte sind in den letzten zwei Jahr zehnten von
einer deutlich erhohten Zinsvolatilitiit betroffen. Ais Reaktion auf die damit verbundene …

Are embedded calls valuable? Evidence from agency bonds

THD King - Journal of Banking & Finance, 2007 - Elsevier
This paper examines the call option values embedded in callable agency bonds. For FHLB,
FNMA, and SLMA bonds, call value estimates range from 1.23% of par to 1.47% on average …

Treasury triplets and the efficiency of the US treasury marketplace

AM Anderson, RJ Kish - International Journal of Monetary …, 2021 - inderscienceonline.com
We analyse the efficiency of the US Treasury bond market during the current period of
historically low interest and inflation rates by comparing the prices of the middle triplet bond …

[PDF][PDF] Bond Market Efficiency: Some Evidence

EP Kroon - 1991 - degree.ubvu.vu.nl
This paper tests the weak form efficiency of the Dutch govemment bond market. A sample of
4-weekly data covering the period 1970-1990 is examined. On the basis of term structure …

[BOOK][B] The dealer market for United States corporate bonds: An empirical investigation into trading volume, pricing, and efficiency

LA Trawinski - 2001 - search.proquest.com
The objective of this study was to investigate trading volume and pricing in the corporate
bond market using a data set that was previously unavailable, consisting of actual dealer …

[PDF][PDF] Bond market efficiency

EP Kroon - 1991 - research.vu.nl
This paper tests the weak form efficiency of the Dutch govemment bond market. A sample of
4-weekly data covering the period 1970-1990 is examined. On the basis of term structure …

Steuerklienteleffekte und Steuerstundungsoptionen auf dem deutschen Rentenmarkt-Ein Binomialbaummodell

F Altrock - Credit and Capital Markets–Kredit und …, 2000 - elibrary.duncker-humblot.com
Steuerklientel-Ansätze betrachten heterogen besteuerte Investoren unter einer Buy-and-
Hold-Annahme, wohingegen Steueroptions-Ansätze auf homogen besteuerte Investoren …

[CITATION][C] 증권사회의 상품채권운용에 관한 연구

정희준 - 한국증권학회지, 1999 - dbpia.co.kr
이 연구는 기관투자자들 중심의 우리나라 채권시장 구조를 이해하기 위해 미시적인 방법을
기초로 주요 기관투자자 중의 하나인 증권회사의 상품채권 운용패턴을 분석하였다. 이를 위해 …