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Systematic Patterns in Daily Treasury Bill Returns and Spreads

Research in Finance, Vol. 10, 1992

14 Pages Posted: 27 May 2003  

Ramon P. DeGennaro

University of Tennessee, Knoxville - Department of Finance

Alahassane Diallo

Eastern Michigan University

Abstract

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.

JEL Classification: G1

Suggested Citation

DeGennaro, Ramon P. and Diallo, Alahassane, Systematic Patterns in Daily Treasury Bill Returns and Spreads. Research in Finance, Vol. 10, 1992. Available at SSRN: https://ssrn.com/abstract=384720 or http://dx.doi.org/10.2139/ssrn.384720

Ramon P. DeGennaro (Contact Author)

University of Tennessee, Knoxville - Department of Finance ( email )

423 Stokely Management Center
Knoxville, TN 37996
United States
865-974-1726 (Phone)
865-974-1716 (Fax)

Alahassane Diallo

Eastern Michigan University ( email )

Eastern Michigan University
Ypsilanti, MI 48197
United States

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