Sie können Bookmarks mittels Listen verwalten, loggen Sie sich dafür bitte in Ihr SLUB Benutzerkonto ein.
Medientyp:
E-Artikel
Titel:
The Turn of the Year in Money Markets: Tests of the Risk‐Shifting Window Dressing and Preferred Habitat Hypotheses*
Beteiligte:
Griffiths, Mark D.;
Winters, Drew B.
Erschienen:
The University of Chicago Press, 2005
Erschienen in:
The Journal of Business, 78 (2005) 4, Seite 1337-1364
Sprache:
Englisch
DOI:
10.1086/430862
ISSN:
0021-9398;
1537-5374
Entstehung:
Anmerkungen:
Beschreibung:
Musto(1997)identifies a turn‐of‐the‐year effect in the commercial paper market and offers risk‐shifting window dressing as an explanation. We revisit this market with different methods and find strong evidence rejecting the risk‐shifting hypothesis. We extend our analysis to other private‐issue money market instruments and find similar results. We find further corroborating evidence in the 1‐month T‐bill market and aggregate demand deposit data. Our results are consistent with a year‐end preferred habitat for liquidity associated with year‐end cash flow obligations.