THE COUPON EFFECT ON TERM PREMIUMS

Robert Brooks; Haim Levy; Miles Livingston

doi:10.1111/j.1475-6803.1989.tb00097.x

THE COUPON EFFECT ON TERM PREMIUMS

Robert Brooks^*, Haim Levy, Miles Livingston

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

Abstract

Monthly holding period returns for U.S. Treasury bills and notes of identical maturity indicate a significant coupon effect upon term premiums. Hotelling's T² test of the vectors of mean term premiums indicates that term premiums are not statistically significant for notes but are significant for bills. Mean‐variance and stochastic dominance criteria indicate an investment preference for bills over notes on a pretax basis. Because the data set is Treasury bills and notes, which are identical except for coupon level, these results are evidence of a coupon effect on term premiums.

Original language	English
Pages (from-to)	15-21
Number of pages	7
Journal	Journal of Financial Research
Volume	12
Issue number	1
DOIs	https://doi.org/10.1111/j.1475-6803.1989.tb00097.x
State	Published - 1989
Externally published	Yes

Access to Document

10.1111/j.1475-6803.1989.tb00097.x

Cite this

@article{12ecc44a08ed4a72bf52f79888638599,

title = "THE COUPON EFFECT ON TERM PREMIUMS",

abstract = "Monthly holding period returns for U.S. Treasury bills and notes of identical maturity indicate a significant coupon effect upon term premiums. Hotelling's T2 test of the vectors of mean term premiums indicates that term premiums are not statistically significant for notes but are significant for bills. Mean‐variance and stochastic dominance criteria indicate an investment preference for bills over notes on a pretax basis. Because the data set is Treasury bills and notes, which are identical except for coupon level, these results are evidence of a coupon effect on term premiums.",

author = "Robert Brooks and Haim Levy and Miles Livingston",

year = "1989",

doi = "10.1111/j.1475-6803.1989.tb00097.x",

language = "אנגלית",

volume = "12",

pages = "15--21",

journal = "Journal of Financial Research",

issn = "0270-2592",

publisher = "Wiley-Blackwell Publishing Ltd",

number = "1",

}

TY - JOUR

T1 - THE COUPON EFFECT ON TERM PREMIUMS

AU - Brooks, Robert

AU - Levy, Haim

AU - Livingston, Miles

PY - 1989

Y1 - 1989

N2 - Monthly holding period returns for U.S. Treasury bills and notes of identical maturity indicate a significant coupon effect upon term premiums. Hotelling's T2 test of the vectors of mean term premiums indicates that term premiums are not statistically significant for notes but are significant for bills. Mean‐variance and stochastic dominance criteria indicate an investment preference for bills over notes on a pretax basis. Because the data set is Treasury bills and notes, which are identical except for coupon level, these results are evidence of a coupon effect on term premiums.

AB - Monthly holding period returns for U.S. Treasury bills and notes of identical maturity indicate a significant coupon effect upon term premiums. Hotelling's T2 test of the vectors of mean term premiums indicates that term premiums are not statistically significant for notes but are significant for bills. Mean‐variance and stochastic dominance criteria indicate an investment preference for bills over notes on a pretax basis. Because the data set is Treasury bills and notes, which are identical except for coupon level, these results are evidence of a coupon effect on term premiums.

UR - http://www.scopus.com/inward/record.url?scp=84986518877&partnerID=8YFLogxK

U2 - 10.1111/j.1475-6803.1989.tb00097.x

DO - 10.1111/j.1475-6803.1989.tb00097.x

M3 - ???researchoutput.researchoutputtypes.contributiontojournal.article???

AN - SCOPUS:84986518877

SN - 0270-2592

VL - 12

SP - 15

EP - 21

JO - Journal of Financial Research

JF - Journal of Financial Research

IS - 1

ER -

THE COUPON EFFECT ON TERM PREMIUMS

Abstract

Access to Document

Other files and links

Fingerprint

Cite this