search query: @indexterm treasury bills / total: 46
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| Author: | Lin, J. |
| Title: | Arbitrage risk and market efficiency: the case of treasury bill futures |
| Journal: | Review of Quantitative Finance and Accounting
1996 : VOL. 7:2, p. 187-204 |
| Index terms: | FINANCE ACCOUNTING TREASURY BILLS |
| Language: | eng |
| Abstract: | This article explores arbitrage risk and models a testable hypothesis for studies in the treasury bill futures market efficiency. The modern mean-variance theory applied to a hedged arbitrage portfolio is used for the analysis. For a given expected arbitrage profit, the author derives minimum variance arbitrage conditions. A minimum variance arbitrage line is then derived to show the risk along with bid-ask spreads. The analysis in this study helps explain the puzzle of inefficiencies in the T-bill futures market. |
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