Detail Behavior Of Monthly Total Returns of U.S Treasury Bills: 1926 to 2011   Oleh:  Hamid, Shaikh A ; Habib, Abraham Jenis: Article from Proceeding Dalam koleksi: American Society of Business and Behavioral Sciences (ASBBS) Proceedings: Feb 2014; Vol. 21 (1), page 1-17. Isi artikel We explore the behavior of total monthly returns of Treasury bills from January 1926 to December 2011. We examine three types of month effects: if the mean of T-bills total monthly returns of the data set, and of a given month were significantly different from zero; if the mean of T-bills total monthly returns of a given month was different from the mean of the other eleven months stacked; and if the variance of the T-bills total monthly returns for a given month was different from the variance of the other eleven months stacked. The mean of T-bills total monthly returns (0.294%) for the data set as well as the mean of all the months were significantly greater than zero. No month effect was detected either in terms of mean or in terms of variance. When the data are sliced into three sub-periods, we find results similar to what we find for the entire data set. The non-existence of significant differences in the means or the volatilities of the returns of a month compared to the other eleven months stacked shows that the T-bills market is largely efficient. This is contrary to what we found with similar studies on monthly returns of long-term Treasury and corporate bonds. The mean of T-bills total monthly returns during the Republican presidencies (0.372%) was higher than during the Democratic presidencies (0.215%). Compared to the other eleven months stacked, the variance of the returns of December during Republican presidencies was lower whereas it was higher during Democratic presidencies. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Kembali

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