Public disclosures and calendar-related movements in risk premiums: Evidence from interbank lending

Craig H. Furfine

doi:10.1016/S1386-4181(02)00024-1

Public disclosures and calendar-related movements in risk premiums: Evidence from interbank lending

Craig H. Furfine^*

^*Corresponding author for this work

Finance

Research output: Contribution to journal › Article › peer-review

7 Scopus citations

Abstract

This paper finds that risk premiums on overnight interbank loans increase dramatically at year-end. Further, cross-sectional variation in prices reflects, in part, differences in public disclosure requirements across institutions, suggesting a significant influence of window dressing on behavior in this market.

Original language	English (US)
Pages (from-to)	97-116
Number of pages	20
Journal	Journal of Financial Markets
Volume	7
Issue number	1
DOIs	https://doi.org/10.1016/S1386-4181(02)00024-1
State	Published - Jan 1 2004

Keywords

Federal funds
January effect
Pricing anomalies
Window dressing

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/S1386-4181(02)00024-1

Cite this

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abstract = "This paper finds that risk premiums on overnight interbank loans increase dramatically at year-end. Further, cross-sectional variation in prices reflects, in part, differences in public disclosure requirements across institutions, suggesting a significant influence of window dressing on behavior in this market.",

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Public disclosures and calendar-related movements in risk premiums: Evidence from interbank lending

Abstract

Keywords

ASJC Scopus subject areas

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