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Musto (1997, Journal of Finance 52(4), 1861-1882) identifies a year-end effect in commercial paper (CP) and suggests that the price of risk may increase at the year-end. Griffiths and Winters (2003, Journal of Business, forthcoming) show that the timing of the year-end effect in CP is consistent...
Persistent link: https://www.econbiz.de/10012784871
This paper examines the Federal Reserve's increase of the allowable carryover in the bank settlement process to improve bank flexibility in achieving settlement. The implication of increasing flexibility is reduced rate volatility. We find federal funds loan volume increases, but find no...
Persistent link: https://www.econbiz.de/10012788861
This paper addresses whether Federal Reserve Board regulatory accounting requirements are sufficiently pervasive as to create regularities in government overnight repurchase agreement (repos) rates. We find that overnight government repos exhibit rate change and variance regularities consistent...
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We extend previous research on higher sales for end-of-the-week lottery drawings to a longer time series and to different lotteries. We find higher sales for end-of-the-week lotteries drawings with Wednesday/Saturday drawings and Tuesday/Friday drawings. Additionally, higher Friday sales from...
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The probability of informed trading (PIN) measure has been increasingly used in empirical research in finance. However, there is a growing debate as to whether PIN measures information-based or liquidity-based trading. We contribute to the discussion by estimating PIN using transaction data for...
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