Financial Innovation And The Role of Derivative Securities : An Empriical Analysis of The Treasury STRIPS Program  

Oleh:

Grinblatt, Mark ; Longstaff, Francis A.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 55 no. 3 (2000), page 1415-1436.
Topik: FINANCIAL; studies; derivatives; innovations; securities markets; statistical analysis; valuation
Fulltext: p 1415.pdf (94.5KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.2 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

The role that financial innovation plays in financial markets is very controversial. To provide insight into this role, we examine how market participants use the highly successful treasurey STRIPS program. We find that investors use the option to create. Treasury - derivative STRIPS primarily to make market more complete and take advantage of tax and accounting assymetries. Although liquidity - related factors help explain differences in the prices of treasury bonds and STRIPS, we find little evidence that the option to strip and reconstitute securities used for speculative or arbitrage - related purposes.

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