haku: @journal_id 800 / yhteensä: 148
viite: 99 / 148
| Tekijä: | Lin, J. |
| Otsikko: | Arbitrage risk and market efficiency: the case of treasury bill futures |
| Lehti: | Review of Quantitative Finance and Accounting
1996 : VOL. 7:2, p. 187-204 |
| Asiasana: | FINANCE ACCOUNTING TREASURY BILLS |
| Kieli: | eng |
| Tiivistelmä: | 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. |
SCIMA