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

Craig H. Furfine*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

6 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 languageEnglish (US)
Pages (from-to)97-116
Number of pages20
JournalJournal of Financial Markets
Volume7
Issue number1
DOIs
StatePublished - Jan 1 2004

Keywords

  • Federal funds
  • January effect
  • Pricing anomalies
  • Window dressing

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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