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
- 10.2307/2328892
- Volume
- 48
- Issue
- 1
- Pages
- 315
- Sources
- openalex crossref