search query: @author Brooks, R. / total: 11
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| Author: | Brooks, R. Levy, H. Livingston, M. |
| Title: | The Coupon Effect on Term Premiums |
| Journal: | Journal of Financial Research
1989 : SPRING, VOL. 12:1, 15-21 |
| Index terms: | MONETARY CONTROL TREASURY BILLS |
| Language: | eng |
| Abstract: | A large body of literature has studied the coupon effect on bond yield to maturity theoretically as well as empirically. The present paper considers the following problem: Monthly holding period returns for U.S. Treasury bills a and notes of identical maturity indicate a significant coupon effect on term premiums. Applying Hotellings' T2 test to the vectors of mean term premiums, it turns out that term premiums are not significant for notes but significant for bills. Because the data set is Treasury bills and notes, these results are proofs for coupon effect on term premiums. |
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