Liquidity, Reconstitution, and the Value of U.S. Treasury Strips

Phillip R Daves and Michael C Ehrhardt

Journal of Finance, 1993, vol. 48, issue 1, 315-29

Abstract: An apparent pricing anomaly exists in the market for U.S. Treasury strips: zero-coupon strips created from principal payments typically trade at significantly higher prices than otherwi se identical zero-coupon strips created from coupon payments. In additi on to documenting this phenomenon, this study demonstrates that differences in liquidity and differences in reconstitution characteristics explain much of this price variation. Copyright 1993 by American Finance Association.

Date: 1993
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