The relative pricing of US Treasury STRIPS: empirical evidence

• 成果类型: Article
• 署名作者: Jordan, BD; Jorgensen, RD; Kuipers, DR
• 署名单位: Texas Tech University System; Texas Tech University; University of Kentucky; Creighton University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(99)00060-4
• 发表日期: 2000
• 页码: 89-123
• 关键词: treasury bond; TREASURY STRIPS; market integration; stripping; reconstitution

摘要

We investigate pricing relations and the potential for arbitrage in the U.S. Treasury STRIPS market, stressing the importance of reconciling quoted Treasury data with actual market pricing conventions. We document that stripping and reconstitution profits in the STRIPS market are fleeting and rarely economically significant; that matched-maturity principal and coupon STRIPS generally have different prices due, at least in part, to richness or cheapness in the underlying note or bond; and that apparent negative forward rates in the STRIPS market are concentrated in certain long-maturity STRIPS that do not actually exist at the time. (C) 2000 Elsevier Science S.A. All rights reserved. JEL classification: G12; G13.