The Mispricing of US Treasury Bonds: A Case Study

• 成果类型: Article
• 署名作者: Cornell, Bradford; Shapiro, Alan C.
• 署名单位: University of California System; University of California Los Angeles; University of Southern California
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/2.3.297
• 发表日期: 1989
• 页码: 297
• 关键词: stock-prices; MARKET

摘要

This article documents an apparent pricing anomaly involving 91/4 percent, 30-year Treasury bonds during the months of May and June 1986. During this period, the price of the 91/4s rose sharply relative to the prices of other long-term Treasury bonds and created a potential arbitrage opportunity. In addition, owners of the 91/4 bonds were able to borrow at a zero interest rate by pledging their bonds. Detailed examination reveals that this relative pricing anomaly cannot be attributed to changes in the level or term structure of interest rates or to differences between the bonds with respect to liquidity, taxation, or duration.