| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089491 | Journal of Banking & Finance | 2012 | 11 Pages |
Abstract
⺠We calculate price differentials between UK gilts and equivalent packages of strips. ⺠There are apparent arbitrage opportunities allowing for bid-ask spreads. ⺠Strip packages are overpriced more often than gilts are overpriced. ⺠Strips prices are stale compared with gilts prices. ⺠Overpriced strips might arise partly because of difficulties in short-selling strips.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Seth Armitage, Shanti P. Chakravarty, Lynn Hodgkinson, Jo Wells,