Financial innovation and the role of derivative securities: An empirical analysis of the treasury strips program

Journal of Finance

Volumn 55, Issue 3, 2000, Pages 1415-1436

  Grinblatt, Mark ^a   Longstaff, Francis A ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0039250932     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/0022-1082.00252     Document Type: Article

References (21)

1. Allen, Franklin, and Douglas Gale, 1988, Optimal security design, Review of Financial Studies 3, 229-263.
2. Amihud, Yakov, and Haim Mendelson, 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics 17, 223-249.
3. Boudoukh, Jacob, and Robert Whitelaw, 1993, Liquidity as a choice variable: A lesson from the Japanese government bond market, Review of Financial Studies 6, 265-292.
4. Constantinides, George, 1983, Capital market equilibrium with personal tax, Econometrica 51, 611-636.
5. Constantinides, George, and Jonathan Ingersoll, 1984, Optimal bond trading with personal taxes: Implications for bond prices and estimated tax brackets and yield curves, Journal of Financial Economics 13, 299-335.
6. Dammon, Robert, Kenneth Dunn, and Chester Spatt, 1989, A re-examination of the value of tax options, Review of Financial Studies 2, 341-372.
7. Daves, Philip, and Michael Ehrhardt, 1993, Liquidity, reconstitution, and the value of U.S. Treasury strips, Journal of Finance 48, 315-329.
8. Duffie, Darrell, 1996, Special repo rates, Journal of Finance 51, 493-526.
9. Duffie, Darrell, and Matthew Jackson, 1989, Optimal innovation of futures contracts, Review of Financial Studies 2, 275-296.
10. Fama, Eugene, and James MacBeth, 1973, Risk, return, and empirical tests, Journal of Political Economy 71, 607-636.
11. Grinblatt, Mark, 1995, An analytic solution for interest rate swap spreads, Working paper, University of California at Los Angeles.
12. Jordan, Bradford, Randy Jorgensen, and David Kuipers, 1999, The relative pricing of U.S. Treasury strips: Empirical evidence, Journal of Financial Economics, forthcoming.
13. Kamara, Avi, 1994, Liquidity, taxes, and short-term treasury yields, Journal of Financial and Quantitative Analysis 29, 403-417.
14. Klaffky, Thomas, and Robert Kopprasch, 1990, Analysis of treasury zero-coupon bonds, in Frank J. Fabozzi, ed.: The Handbook of Treasury Securities (Probus Publishing Co., Chicago).
15. Livingston, Miles, and Davis Gregory, 1989, The Stripping of U.S. Treasury Securities, (Salomon Brothers Center for the Study of Financial Institutions, New York University, New York).
16. Longstaff, Francis, 1992, Are negative option prices possible? The callable U. S. Treasury-bond puzzle, Journal of Business 65, 571-592.
17. Longstaff, Francis, 1995, How much can marketability affect security values?, Journal of Finance 50, 1767-1774.
18. Ross, Stephen, 1989, Institutional markets, financial marketing, and financial innovation, Journal of Finance 44, 541-556.
19. Silber, William, 1991, Discounts on restricted stock: The impact of illiquidity on stock prices, Financial Analysts Journal 47, 60-64.
20. Shapiro, Monte, and Carol Johnson, 1990, Overview of government zero market and investment strategies, in Frank J. Fabozzi, ed.: Handbook of Treasury Securities (Probus Publishing Co., Chicago).
21. Tufano, Peter, 1989, Financial innovation and first-mover advantages, Journal of Financial Economics 25, 213-240.