Systematic Patterns in Daily Treasury Bill Returns and Spreads
Ramon P. DeGennaro
University of Tennessee, Knoxville - Department of Finance
Eastern Michigan University
Research in Finance, Vol. 10, 1992
Nonparametric tests reject that rankings of Treasury bill returns are random within months. Treasury bills tend to earn lower returns on the first trading day of the month of January. This pattern in January does not extend to the other months of the year. Unlike stocks, bill returns are approximately equal during the first and second half of the month. Bid-ask spreads, however, are much larger during the second half of the month than during the first.
Number of Pages in PDF File: 14
JEL Classification: G1Accepted Paper Series
Date posted: May 27, 2003
© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo5 in 0.359 seconds