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Keywords: Treasury note returns
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Journal Articles
Seasonal Variation in Treasury Returns
Available to Purchase
Journal:
Critical Finance Review
Critical Finance Review (2015) 4 (1): 45–115.
Published: 29 June 2015
... and Maurice D. Levi Licensed re-use rights only Treasury bond returns Treasury note returns Market seasonality Time-varying risk aversion G11 G12 In this paper we establish the presence of a striking and previously unrecognized anomalous seasonal pattern in U.S. Treasury security...
