Download This PaperSystematic Patterns in Daily Treasury Bill Returns and Spreads
Research in Finance, Vol. 10, 1992
14 Pages Posted: 27 May 2003
Abstract
Nonparametric tests reject that rankings of Treasury bill returns are random within months. Treasury bills tend to earn lower returns on the first trading day of the month of January. This pattern in January does not extend to the other months of the year. Unlike stocks, bill returns are approximately equal during the first and second half of the month. Bid-ask spreads, however, are much larger during the second half of the month than during the first.
JEL Classification: G1
Suggested Citation: Suggested Citation
DeGennaro, Ramon P. and Diallo, Alahassane, Systematic Patterns in Daily Treasury Bill Returns and Spreads. Research in Finance, Vol. 10, 1992, Available at SSRN: https://ssrn.com/abstract=384720 or http://dx.doi.org/10.2139/ssrn.384720
Do you have negative results from your research you’d like to share?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.