Arbitrage in the Government Bond Market? (293-093)

Edleson, Michael and Tufano, Peter (1993) Arbitrage in the Government Bond Market? (293-093). [Case]

Abstract

Documents a pricing anomaly in the large and liquid treasury bond market. The prices of callable treasury bonds seem to be inconsistent with the prices of noncallable treasuries and an arbitrage opportunity appears to exist. Permits instructors to introduce the treasury market, the concept of creating synthetic instruments, principles of arbitrage, and institutional frictions in the bond markets.

Item Type: Case
Keywords: finance, accounting, financial analysis
Subject(s): Finance
Date Deposited: 01 Apr 2016 12:40
Last Modified: 01 Apr 2016 14:27
Funders: n/a
URI: http://eureka.sbs.ox.ac.uk/id/eprint/6057

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