haku: @indexterm SEASONAL FLUCTUATION / yhteensä: 63
viite: 45 / 63
| Tekijä: | Ogden, J. P. |
| Otsikko: | The end of the month as a preferred habitat : a test of operational efficiency in the money market. |
| Lehti: | Journal of Financial and Quantitative Analysis
1987 : SEP, VOL. 22:3, p. 329-343 |
| Asiasana: | MONEY MARKETS CASH FLOW SEASONAL FLUCTUATION |
| Kieli: | eng |
| Tiivistelmä: | We show that an aggregate preferred habitat for investors exists on the last day of the calendar month, because the nation's payment system produces a concentrated flow of funds on such dates Thus equilibrium yield discounts are predicted on these dates. Empirical tests on monthly and daily Treasury bill data confirm the hypothesis. The results have implications for Treasury debt management, for short-term cash and debt management practices and for the statistical estimation of daily, weekly and monthly return premiums on risky securities. |
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