Journal of Finance Vol. 48 No. 1 1993
Liquidity, Reconstitution, and the Value of U.S. Treasury Strips
Abstract
An apparent pricing anomaly exists in the market for U.S. Treasury strips: zero‐coupon strips created from principal payments typically trade at significantly higher prices than otherwise identical zero‐coupon strips created from coupon payments. In addition to documenting this phenomenon, this study demonstrates that differences in liquidity and differences in reconstitution characteristics explain much of this price variation.
- DOI
- 10.1111/j.1540-6261.1993.tb04712.x
- Volume
- 48
- Issue
- 1
- Pages
- 315-329
- Language
- en
- Sources
- openalex crossref