메뉴 건너뛰기




Volumn 55, Issue 2, 2000, Pages 989-994

Arbitrage and the expectations hypothesis

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0039251036     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/0022-1082.00234     Document Type: Article
Times cited : (30)

References (22)
  • 1
    • 84977725247 scopus 로고
    • Liquidity, maturity, and the yields on U. S. Treasury securities
    • Amihud, Yakov, and Haim Mendelson, 1991, Liquidity, maturity, and the yields on U. S. Treasury securities, Journal of Finance 46, 1411-1425.
    • (1991) Journal of Finance , vol.46 , pp. 1411-1425
    • Amihud, Y.1    Mendelson, H.2
  • 2
    • 0013249647 scopus 로고
    • The benchmark effect in the Japanese government bond market
    • Boudoukh, Jacob, and Robert F. Whitelaw, 1991, The benchmark effect in the Japanese government bond market, Journal of Fixed Income September, 52-59.
    • (1991) Journal of Fixed Income , Issue.SEPTEMBER , pp. 52-59
    • Boudoukh, J.1    Whitelaw, R.F.2
  • 3
    • 0000481614 scopus 로고
    • A defense of traditional hypotheses about the term structure of interest rates
    • Campbell, John, 1986, A defense of traditional hypotheses about the term structure of interest rates, Journal of Finance 41, 183-193.
    • (1986) Journal of Finance , vol.41 , pp. 183-193
    • Campbell, J.1
  • 4
    • 0003026268 scopus 로고
    • Adverse selection, squeezes, and the bid-ask spread on Treasury securities
    • Cornell, Bradford, 1993, Adverse selection, squeezes, and the bid-ask spread on Treasury securities, Journal of Fixed Income June, 39-47.
    • (1993) Journal of Fixed Income , Issue.JUNE , pp. 39-47
    • Cornell, B.1
  • 5
    • 21144461273 scopus 로고
    • The mispricing of U. S. Treasury bonds: A case study
    • Cornell, Bradford, and Alan C. Shapiro, 1990, The mispricing of U. S. Treasury bonds: A case study, Review of Financial Studies 2, 297-310.
    • (1990) Review of Financial Studies , vol.2 , pp. 297-310
    • Cornell, B.1    Shapiro, A.C.2
  • 6
    • 84977388192 scopus 로고
    • A reexamination of traditional hypotheses about the term structure of interest rates
    • Cox, John, Jonathan Ingersoll, and Stephen Ross, 1981, A reexamination of traditional hypotheses about the term structure of interest rates, Journal of Finance 36, 321-346.
    • (1981) Journal of Finance , vol.36 , pp. 321-346
    • Cox, J.1    Ingersoll, J.2    Ross, S.3
  • 7
    • 84993843853 scopus 로고
    • Liquidity, reconstitution, and the value of U. S. Treasury strips
    • Daves, Phillip, and Michael C. Ehrhardt, 1993, Liquidity, reconstitution, and the value of U. S. Treasury strips, Journal of Finance 48, 315-329.
    • (1993) Journal of Finance , vol.48 , pp. 315-329
    • Daves, P.1    Ehrhardt, M.C.2
  • 8
    • 0041049258 scopus 로고    scopus 로고
    • Idiosyncratic variation of Treasury bill yields
    • Duffee, Gregory, 1996, Idiosyncratic variation of Treasury bill yields, Journal of Finance 51, 527-551.
    • (1996) Journal of Finance , vol.51 , pp. 527-551
    • Duffee, G.1
  • 10
    • 0038693107 scopus 로고    scopus 로고
    • Special repo rates
    • Duffie, Darrell, 1996b, Special repo rates, Journal of Finance 51, 493-526.
    • (1996) Journal of Finance , vol.51 , pp. 493-526
    • Duffie, D.1
  • 11
    • 0040588370 scopus 로고    scopus 로고
    • Tax and liquidity effects in pricing government bonds
    • Elton, Edwin, and T. Clifton Green, 1998, Tax and liquidity effects in pricing government bonds, Journal of Finance 53, 1533-1562.
    • (1998) Journal of Finance , vol.53 , pp. 1533-1562
    • Elton, E.1    Green, T.C.2
  • 13
    • 0012166590 scopus 로고    scopus 로고
    • Around and around: The expectations hypothesis
    • Fisher, Mark, and Christian Gilles, 1998, Around and around: The expectations hypothesis, Journal of Finance 53, 365-383.
    • (1998) Journal of Finance , vol.53 , pp. 365-383
    • Fisher, M.1    Gilles, C.2
  • 14
    • 0039250932 scopus 로고    scopus 로고
    • Financial innovation and the role of derivative securities: An empirical analysis of the U.S. Treasury's STRIPS program
    • forthcoming
    • Grinblatt, Mark, and Francis Longstaff, 2000, Financial innovation and the role of derivative securities: An empirical analysis of the U.S. Treasury's STRIPS program, Journal of Finance, forthcoming.
    • (2000) Journal of Finance
    • Grinblatt, M.1    Longstaff, F.2
  • 15
    • 0000985905 scopus 로고
    • Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
    • He, Hua, and Neil Pearson, 1991, Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case, Journal of Economic Theory 54, 259-304.
    • (1991) Journal of Economic Theory , vol.54 , pp. 259-304
    • He, H.1    Pearson, N.2
  • 16
    • 0010777857 scopus 로고    scopus 로고
    • Special repo rates: An empirical analysis
    • Jordan, Bradford, and Susan Jordan, 1997, Special repo rates: An empirical analysis, Journal of Finance 52, 2051-2072.
    • (1997) Journal of Finance , vol.52 , pp. 2051-2072
    • Jordan, B.1    Jordan, S.2
  • 18
    • 84993839850 scopus 로고
    • Explorations into factors explaining money market returns
    • Knez, Peter, Robert Litterman, and Jose Scheinkman, 1994, Explorations into factors explaining money market returns, Journal of Finance 49, 1861-82.
    • (1994) Journal of Finance , vol.49 , pp. 1861-1882
    • Knez, P.1    Litterman, R.2    Scheinkman, J.3
  • 20
    • 21144476026 scopus 로고
    • Are negative option prices possible? The callable U.S. Treasury bond puzzle
    • Longstaff, Francis, 1992, Are negative option prices possible? The callable U.S. Treasury bond puzzle, Journal of Business 65, 571-592.
    • (1992) Journal of Business , vol.65 , pp. 571-592
    • Longstaff, F.1
  • 21
    • 84993839749 scopus 로고
    • A reexamination of traditional hypotheses about the term structure: A comment
    • McCulloch, J. Huston, 1993, A reexamination of traditional hypotheses about the term structure: A comment, Journal of Finance 48, 779-789.
    • (1993) Journal of Finance , vol.48 , pp. 779-789
    • McCulloch, J.H.1
  • 22
    • 49549135545 scopus 로고
    • The arbitrage theory of capital asset pricing
    • Ross, Stephen, 1976, The arbitrage theory of capital asset pricing, Journal of Economic Theory 13, 341-360.
    • (1976) Journal of Economic Theory , vol.13 , pp. 341-360
    • Ross, S.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.