This paper documents the unusual price behavior of Treasury bills that mature at the turn of calendar months. There is a kink in the yield curve as it crosses calendar months, and this kink is most pronounced as the yield curve crosses between calendar years. Potential seasonality in the spot rate of interest could not explain these results, nor could they be explained by the ‘mispricing’ of either the last bill or first bill in a month. The exceptionally large premium on the first bill in a month tended to be earned throughout the lifetime of the bill.

We study the evolution of Korean chaebols (business groups) using ownership data. Chaebols grow vertically (as pyramids) when the controlling family uses well-established group firms (“central firms”) to acquire firms with low pledgeable income and high acquisition premiums. Chaebols grow horizontally (through direct ownership) when the family acquires firms with high pledgeable income and low acquisition premiums. Central firms trade at a relative discount, due to shareholders’ anticipation of value-destroying acquisitions. Our evidence is consistent with the selection of firms into different positions in the chaebol and ascribes the underperformance of pyramidal firms to a selection effect rather than tunneling.